Results 1 to 10 of about 16 (15)
Capturing asymmetry in COVID-19 counts using an improved skewness measure for time series data. [PDF]
MethodsX, 2023 Capturing asymmetry among time series is an important area of research as it provides a range of information regarding the behaviour and distribution of the underlying series, which in turn proves to be useful for prediction.
Bapat SR.
europepmc +2 more sources
Predictability of cryptocurrency returns: evidence from robust tests
Dependence Modeling, 2022 The paper provides a comparative empirical study of predictability of cryptocurrency returns and prices using econometrically justified robust inference methods.
He Siyun, Ibragimov Rustam
doaj +1 more source
Dependence Modeling, 2022 This paper analyzes approximately 100 Gigabytes of raw text data from Twitter with keywords “AAPL,” “S&P 500,” “FTSE100” and “NASDAQ” to explore the relationship between sentiment and the returns and prices on the Apple stock and the S&P 500, FTSE 100 ...
Huang Zibin, Ibragimov Rustam
doaj +1 more source
Locf imputation for Astra Agro Lestari Tbk. (Indonesia) and Anadolu Group (Turkey) stock
Majalah Ilmiah Matematika dan Statistika, 2022 This study aims to apply time series graphs on stock of Astra Agro Lestari Tbk. and Anadolu Group with last observation carried forward (LOCF) imputation. The imputation was used because the data for the two companies had missing values on several dates.
Fadhlul Mubarak +2 more
doaj +1 more source
Testing for explosive bubbles: a review
Dependence Modeling, 2023 This review discusses methods of testing for explosive bubbles in time series. A large number of recently developed testing methods under various assumptions about innovation of errors are covered.
Skrobotov Anton
doaj +1 more source
Volatility filtering in estimation of kurtosis (and variance)
Dependence Modeling, 2019 The kurtosis of the distribution of financial returns characterized by high volatility persistence and thick tails is notoriously difficult to estimate precisely.
Anatolyev Stanislav
doaj +1 more source
Dependence Modeling, 2019 The relationship between the European stock market and the crude oil depends on the significance of the different industries in the European economy. The literature points to a structural change after the 2008 crisis without getting into details of which
Ferreiro Javier Ojea
doaj +1 more source
Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo
Dependence Modeling, 2019 The Copula Multivariate GARCH (CMGARCH) model is based on a dynamic copula function with time-varying parameters. It is particularly suited for modelling dynamic dependence of non-elliptically distributed financial returns series.
Burda Martin, Bélisle Louis
doaj +1 more source
Social Media Impact on the ‘Cosmos’ Blockchain Ecosystem: State and Prospect
Data Science JournalThe proliferation of blockchain technology heralds transformative impacts across various sectors, offering decentralization, transparency, and enhanced security.
Ivan Pavlyshyn +4 more
doaj +1 more source
Forecasting electronic money trends in Indonesia using neural network models: A comparative analysis
Majalah Ilmiah Matematika dan StatistikaForecasting electronic money transaction values is essential for effective financial planning and decision-making in various industries. This study evaluates the performance of three neural network models, which are Extreme Learning Machines (ELM ...
Umi Mahmudah +2 more
doaj +1 more source