Please Note: Blog posts are not selected, edited or screened by Seeking Alpha editors. In the previous post, we presented a system for trading VXX, a volatility Exchange Traded Note. The trading ...

An important part of the identification and diagnostic checking of space-time ARMA models is the evaluation of the significance of the autocorrelations of the observations and residuals, respectively.

A unified approach for the tentative specification of the order of mixed stationary and nonstationary ARMA models is proposed. For the ARMA models, an iterative regression procedure is given to ...