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
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
core +1 more source
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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BERT's sentiment score for portfolio optimization: a fine-tuned view in Black and Litterman model. [PDF]
Neural Comput Appl, 2022 Colasanto F +3 more
europepmc +1 more source
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
Skew selection for factor stochastic volatility models. [PDF]
J Appl Stat, 2020 Nakajima J.
europepmc +1 more source
Portmanteau test statistics for seasonal serial correlation in time series models. [PDF]
Springerplus, 2016 Mahdi E.
europepmc +1 more source
Mitigating the choice of the duration in DDMS models through a parametric link. [PDF]
J Appl StatMendes FHPES, Turatti DE, Pumi G.
europepmc +1 more source