scholarly journals Operating Performance of Banks among Asian Economies: An International and Time Series Comparison

2002 ◽  
Author(s):  
Simon H. Kwan
Keyword(s):  
Time Series ◽  
Operating Performance ◽  
Asian Economies ◽  
Time Series Comparison

scholarly journals Spectral Analysis of Gait Variability of Stride Interval Time Series: Comparison of Young, Elderly and Parkinson's Disease Patients

2009 ◽  
Vol 21 (2) ◽  
pp. 105-111 ◽  
Author(s):  
Osamu Henmi ◽  
Yoshitaka Shiba ◽  
Toyokazu Saito ◽  
Harukazu Tsuruta ◽  
Akihiro Takeuchi ◽  
...  
Keyword(s):  
Parkinson’S Disease ◽  
Time Series ◽  
Parkinson's Disease ◽  
Spectral Analysis ◽  
Gait Variability ◽  
Interval Time ◽  
Stride Interval ◽  
Interval Time Series ◽  
Time Series Comparison

Finance, investment, and growth: Time series evidence from 10 Asian economies

2005 ◽  
Vol 27 (1) ◽  
pp. 87-106 ◽  
Author(s):  
Peter L. Rousseau ◽  
Dadanee Vuthipadadorn
Keyword(s):  
Time Series ◽  
Growth Time ◽  
Asian Economies

Volatility Modeling with Leverage Effect under Laplace Errors

2017 ◽  
Vol 10 (1) ◽  
Author(s):  
Zhengjun Jiang ◽  
Weixuan Xia
Keyword(s):  
Time Series ◽  
Autocorrelation Function ◽  
Financial Time Series ◽  
Laplace Distribution ◽  
Leverage Effect ◽  
Financial Returns ◽  
Financial Time ◽  
Error Distributions ◽  
Time Series Comparison ◽  
Unconditional Variance

AbstractThis paper discusses four GARCH-type models (A-GARCH, NA-GARCH, GJR-GARCH, and E-GARCH) in representing volatility of financial returns with leverage effect. In these models, errors are assumed to follow a Laplace distribution in order to deal with the typical leptokurtic feature of financial returns. The properties of these models are analyzed theoretically in terms of unconditional variance, kurtosis, autocorrelation function and news impact, and are further examined in the applications to real financial time series. Comparison is made with other choices of error distributions such as normal, Student-5, and Student-7 distributions, respectively. We also conduct residual analyses to justify the choice of error distributions and find that Laplace-E-GARCH model still performs very well. Our main purpose is to study and compare the proposed models’ relative adequacies and underlying limitations.

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