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- Autoregressive_conditional_heteroskedasticity abstract "In econometrics, autoregressive conditional heteroskedasticity (ARCH) models are used to characterize and model time series. They are used at any point in a series, the error terms are thought to have a characteristic size or variance. In particular ARCH models assume the variance of the current error term or innovation to be a function of the actual sizes of the previous time periods' error terms: often the variance is related to the squares of the previous innovations.Such models are often called ARCH models (Engle, 1982), although a variety of other acronyms are applied to particular structures that have a similar basis. ARCH models are commonly employed in modeling financial time series that exhibit time-varying volatility clustering, i.e. periods of swings interspersed with periods of relative calm. ARCH-type models are sometimes considered to be in the family of stochastic volatility models, although this is strictly incorrect since at time t the volatility is completely pre-determined (deterministic) given previous values.".
- Autoregressive_conditional_heteroskedasticity wikiPageID "610752".
- Autoregressive_conditional_heteroskedasticity wikiPageLength "16476".
- Autoregressive_conditional_heteroskedasticity wikiPageOutDegree "40".
- Autoregressive_conditional_heteroskedasticity wikiPageRevisionID "703811998".
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLink Autoregressive_model.
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLink Autoregressive–moving-average_model.
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLink Category:Econometrics.
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLink Category:Nonlinear_time_series_analysis.
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLink Category:Time_series_analysis.
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLink Conditional_variance.
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLink Econometrica.
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLink Econometrics.
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLink Errors_and_residuals.
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLink Generalized_normal_distribution.
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLink Heteroscedasticity.
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLink Innovation_(signal_processing).
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLink Journal_of_Econometrics.
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLink Journal_of_Economic_Perspectives.
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLink Least_squares.
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLink Ljung–Box_test.
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLink Lévy_process.
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLink Mathematical_finance.
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLink Null_hypothesis.
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLink Q-statistic.
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLink Quadratic_variation.
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLink Robert_F._Engle.
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLink Score_test.
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLink Standard_normal_deviate.
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLink Stochastic_differential_equation.
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLink Stochastic_volatility.
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLink Time_series.
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLink Unit_root.
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLink Variance.
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLink Volatility_(finance).
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLink White_noise.
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLink White_test.
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLinkText "ARCH model".
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLinkText "ARCH".
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLinkText "Autoregressive conditional heteroskedasticity".
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLinkText "Autoregressive conditional heteroskedasticity#IGARCH".
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLinkText "Autoregressive_conditional_heteroskedasticity#EGARCH".
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLinkText "Autoregressive_conditional_heteroskedasticity#NGARCH".
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLinkText "Exponential GARCH".
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLinkText "GARCH in the mean".
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLinkText "GARCH model".
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLinkText "GARCH".
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLinkText "autoregressive conditional heteroskedasticity".
- Autoregressive_conditional_heteroskedasticity wikiPageWikiLinkText "autoregressive conditional heteroskedasticity#GARCH".
- Autoregressive_conditional_heteroskedasticity wikiPageUsesTemplate Template:Cite_book.
- Autoregressive_conditional_heteroskedasticity wikiPageUsesTemplate Template:Cite_journal.
- Autoregressive_conditional_heteroskedasticity wikiPageUsesTemplate Template:Cite_paper.
- Autoregressive_conditional_heteroskedasticity wikiPageUsesTemplate Template:Clarify.
- Autoregressive_conditional_heteroskedasticity wikiPageUsesTemplate Template:Redirect.
- Autoregressive_conditional_heteroskedasticity wikiPageUsesTemplate Template:Reflist.
- Autoregressive_conditional_heteroskedasticity wikiPageUsesTemplate Template:Statistics.
- Autoregressive_conditional_heteroskedasticity wikiPageUsesTemplate Template:Stochastic_processes.
- Autoregressive_conditional_heteroskedasticity wikiPageUsesTemplate Template:Use_dmy_dates.
- Autoregressive_conditional_heteroskedasticity wikiPageUsesTemplate Template:Volatility.
- Autoregressive_conditional_heteroskedasticity subject Category:Econometrics.
- Autoregressive_conditional_heteroskedasticity subject Category:Nonlinear_time_series_analysis.
- Autoregressive_conditional_heteroskedasticity subject Category:Time_series_analysis.
- Autoregressive_conditional_heteroskedasticity type Type.
- Autoregressive_conditional_heteroskedasticity type Econometric.
- Autoregressive_conditional_heteroskedasticity type Field.
- Autoregressive_conditional_heteroskedasticity type Process.
- Autoregressive_conditional_heteroskedasticity type Redirect.
- Autoregressive_conditional_heteroskedasticity type Type.
- Autoregressive_conditional_heteroskedasticity comment "In econometrics, autoregressive conditional heteroskedasticity (ARCH) models are used to characterize and model time series. They are used at any point in a series, the error terms are thought to have a characteristic size or variance.".
- Autoregressive_conditional_heteroskedasticity label "Autoregressive conditional heteroskedasticity".
- Autoregressive_conditional_heteroskedasticity sameAs Q180752.
- Autoregressive_conditional_heteroskedasticity sameAs ARCH-Modell.
- Autoregressive_conditional_heteroskedasticity sameAs ARCH.
- Autoregressive_conditional_heteroskedasticity sameAs واریانس_ناهمسانی_شرطی_اتورگرسیو.
- Autoregressive_conditional_heteroskedasticity sameAs Modèles_ARCH.
- Autoregressive_conditional_heteroskedasticity sameAs Modello_autoregressivo_a_eteroschedasticità_condizionata.
- Autoregressive_conditional_heteroskedasticity sameAs ARCHモデル.
- Autoregressive_conditional_heteroskedasticity sameAs Model_ARCH.
- Autoregressive_conditional_heteroskedasticity sameAs m.02w9b0.
- Autoregressive_conditional_heteroskedasticity sameAs Авторегрессионная_условная_гетероскедастичность.
- Autoregressive_conditional_heteroskedasticity sameAs Autoregressive_conditional_heteroskedasticity.
- Autoregressive_conditional_heteroskedasticity sameAs Autoregressiv_betingad_heteroskedasticitet.
- Autoregressive_conditional_heteroskedasticity sameAs Otoregresif_koşullu_değişen_varyans.
- Autoregressive_conditional_heteroskedasticity sameAs Авторегресивна_умовна_гетероскедастичність.
- Autoregressive_conditional_heteroskedasticity sameAs ARCH.
- Autoregressive_conditional_heteroskedasticity sameAs Q180752.
- Autoregressive_conditional_heteroskedasticity sameAs ARCH模型.
- Autoregressive_conditional_heteroskedasticity wasDerivedFrom Autoregressive_conditional_heteroskedasticity?oldid=703811998.
- Autoregressive_conditional_heteroskedasticity isPrimaryTopicOf Autoregressive_conditional_heteroskedasticity.