Modellierung von Finanzzeitreihen mit zeitlich inhomogener stochastischer Struktur

• Applicant: Professor Dr. Jürgen Franke
• Subject Area: Mathematics
• Term: from 2004 to 2008
• Project identifier: Deutsche Forschungsgemeinschaft (DFG) - Project number 5436119

• Final Report Year: 2008

Final Report Abstract

No abstract available

Publications

• Competing neural networks as models for nonstationary financial time series. Dissertation, TU Kaiserslautern, 2005
  J. Tadjuidje-Kamgaing
  
• On the consistency of the blocked neural network estimator in time series analysis. Neural Computation 18: 2568-2581, 2006
  A. Sarishvili, C. Andersson, J. Franke and G. Kroisandt
  
• A note on the identifiability of the conditional expectation for the mixtures of neural networks. Report in Wirtschaftsmathematik 104, TU Kaiserslautern (2007)
  J. P. Stockis, J. Tadjuidje-Kamgaing and J. Franke
  
• Mixtures of nonparametric autoregressions. 2007
  J. Franke, J. P. Stockis, J. Tadjuidje-Kamgaing and W. K. Li
  
• On geometric ergodicity of CHARME model. Report in Wirtschaftsmathematik 103, TU Kaiserslautern (2007)
  J. P. Stockis, J. Tadjuidje-Kamgaing and J. Franke
  
• Switching regimes autoregressive driven processes with exogenous components. 2007
  J. Tadjuidje-Kamgaing, H. Ombao and R. A. Davis
  
• Testing for parameter stability in nonlinear autoregressive models. 2008
  C. Kirch and J. Tadjuidje-Kamgaing