1 citations · 2 across the 4 of their papers we have counts for
4 papers
A closed form to the general solution of linear difference equations with variable coefficients
A. G. Paraskevopoulos, M. Karanasos
The determinant of a lower Hessenberg matrix (Hessenbergian) is expressed as a sum of signed elementary products indexed by initial segments of nonnegative integers. A closed form…
Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach
Menelaos Karanasos, Alexandros Paraskevopoulos, Faek Menla Ali +2
We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associ…
A univariate time varying analysis of periodic ARMA processes
Menelaos Karanasos, Alexandros Paraskevopoulos, Stavros Dafnos
The standard approach for studying the periodic ARMA model with coefficients that vary over the seasons is to express it in a vector form. In this paper we introduce an alternative…
The fundamental properties of time varying AR models with non stochastic coefficients
Menelaos Karanasos, Alexandros Paraskevopoulos, Stavros Dafnos
The paper examines the problem of representing the dynamics of low order autoregressive (AR) models with time varying (TV) coefficients. The existing literature computes the foreca…