• DocumentCode
    3563454
  • Title

    Minkowski Metric for GARCH (1,1)

  • Author

    Kanjamapornkul, Kabin ; Kijsirikul, Boonserm ; Mathew, Jimson

  • Author_Institution
    Dept. of Comput. Eng., Chulalongkorn Univ., Bangkok, Thailand
  • fYear
    2014
  • Firstpage
    295
  • Lastpage
    302
  • Abstract
    In this paper we discuss a stylized fact on long memory process of volatility cluster phenomena by using Minkowski metric for GARCH (1,1). Also presented result of minus sign of volatility in reversed direction of time scale. It is named as dark volatility or hidden risk fear field.
  • Keywords
    autoregressive processes; macroeconomics; time series; GARCH (1,1) model; Minkowski metric; dark volatility; hidden risk fear field; time scale reverse direction; volatility cluster phenomenon; Jacobian matrices; Manifolds; Mathematical model; Measurement; Tensile stress; Time series analysis; Transforms; 1); Dark Volatility; GARCH (1; Hyperbolic Coordinate; Minkowski Distribution; Minkowski Metric;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Eco-friendly Computing and Communication Systems (ICECCS), 2014 3rd International Conference on
  • Print_ISBN
    978-1-4799-7003-2
  • Type

    conf

  • DOI
    10.1109/Eco-friendly.2014.67
  • Filename
    7209011
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3563454