The Econometric Modelling of Financial Time Series

Morphological-Rank-Linear Models for Financial Time Series Forecasting

“…On average, the value X t is indeed the best prediction of value X t-1 . This behavior is common in the finance market and in the economic theory and its so-called random walk dilemma or random walk hypothesis [41]. The computational cost for time series forecasting using the random walk dilemma is extremely low.…”

“…This kind of model is known as the Random Walk (RW) model [41], which is defined by (4) or (5) where X t is the current observation, X t-1 is the immediate observation before X t , and r t is a noise term with a gaussian distribution of zero mean and standard deviation σ (r t ≈ N(0, σ)).…”

Evolving Equity Market Interdependencies: Evidence from Emerging Markets

“…The VAR framework has been discussed in detail by many authors like Culbertson (1996), Mills (1999 and Tsay (2001). Studies by Dungey, Fry and Martin, (2003), Wong et al (2004) and Cheng & Glascock (2006) have also extensively discussed inter-linkages among equity markets around the world.…”

Stationarity of Time Series and the Problem of Spurious Regression

“…For attentive reader, we recommend e.g. Gujarati (2004), Mills (1999), Davidson -MacKinnon (2003) or Kočenda -Černý (2007).…”