1 citations · 3 across the 7 of their papers we have counts for
7 papers
A Multi-Companion Method to Periodically Integrated Autoregressive Models
Yueyun Zhu, Georgi N. Boshnakov
There has been an enormous interest in analysing and modelling periodic time series. The research on periodically integrated autoregressive (PIAR) models which capture the periodic…
Partial autocorrelation parameterisation of models with unit roots on the unit circle
Jamie Halliday, Georgi N. Boshnakov
We propose a parametrization of autoregressive unit roots ARMA models (ARUMA) with partial autocorrelation coefficients to specify the autoregressive and integrated part of the mod…
Bayesian mixture autoregressive model with Student's t innovations
Davide Ravagli, Georgi N. Boshnakov
This paper introduces a fully Bayesian analysis of mixture autoregressive models with Student t components. With the capacity of capturing the behaviour in the tails of the distrib…
A signed power transformation with application to white noise testing
Georgi N. Boshnakov, Davide Ravagli
We show that signed power transforms of some ARCH-type processes give ARCH-type processes. The class of ARCH-type models for which this property holds contains many common ARCH and…
Bayesian analysis of mixture autoregressive models covering the complete parameter space
Davide Ravagli, Georgi N. Boshnakov
Mixture autoregressive (MAR) models provide a flexible way to model time series with predictive distributions which depend on the recent history of the process and are able to acco…
Portfolio optimization with mixture vector autoregressive models
Davide Ravagli, Georgi N. Boshnakov
Obtaining reliable estimates of conditional covariance matrices is an important task of heteroskedastic multivariate time series. In portfolio optimization and financial risk manag…
PoARX Modelling for Multivariate Count Time Series
Jamie Halliday, Georgi N. Boshnakov
This paper introduces multivariate Poisson autoregressive models with exogenous covariates (PoARX) for modelling multivariate time series of counts. We obtain conditions for the Po…