Results 21 to 30 of about 46 (45)
Beta autoregressive moving average models
ARMA, Beta distribution, Beta ARMA, Forecasts, 62M10, 91B84,
Andréa Rocha, Francisco Cribari-Neto
core +1 more source
Testing for stationarity in series with a shift in the mean. A fredholm approach
Structural change, LBI, statistic, asymptotic behaviour, 91B84, 62M10,
María Presno, Anna López
core +1 more source
Measuring the Efficiency of the Intraday Forex Market with a Universal Data Compression Algorithm
Efficient Market Hypothesis, Universal prediction, Forex Intra-day trading, Variable Order Markov, G14, C22, C53, C49, C63, 62P05, 91B84, 62M20,
Irad Ben-Gal +3 more
core +1 more source
Asymmetric Information in Fads Models
Ornstein–Uhlenbeck, Hitsuda representation, Fads models, Asymmetric information, 60G15, 62M07, 45D05, 91B84, C15, C22,
Paolo Guasoni
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Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms [PDF]
, 2019 This work considers the problem of modified portmanteau tests for testing the adequacy of FARIMA models under the assumption that the errors are uncorrelated but not necessarily independent (i.e. weak FARIMA). We first study the joint distribution of the
Esstafa, Youssef +2 more
core
Dynamic modeling of mean-reverting spreads for statistical arbitrage
Mean reversion, Statistical arbitrage, Pairs trading, State space model, Time-varying autoregressive processes, Dynamic regression, Bayesian forecasting, 91B84, 91B28, 62M10,
K. Triantafyllopoulos, G. Montana
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MONTE CARLO AND NUMERICAL METHODS TO SOLVE THE TIME SERIES MODEL
In this paper we will solve the nonlinear system of equations in the parameters of the time series model by Monte Carlo methods and by numerical methods. When we identify the variance and the inter-covariances of time series, we obtain, dividing by
CIUIU, Daniel
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Bootstrapping Cointegration Tests Under Structural Co-Breaks: A Robust Extended ECM test. [PDF]
The aim of the paper is the analysis of ECM (Error Correction Model) bootstrap cointegration tests under structural breaks. Classical ECM tests depend on some nuisance parameters, which is an undesirable feature for empirical applications.
Escribano, Álvaro, Arranz, Miguel A.
core
Social Media Impact on the ‘Cosmos’ Blockchain Ecosystem: State and Prospect
The proliferation of blockchain technology heralds transformative impacts across various sectors, offering decentralization, transparency, and enhanced security.
Ivan Pavlyshyn +4 more
core +1 more source
Some of the next articles are maybe not open access.