Results 41 to 50 of about 244 (54)
On non-Gaussian AR(1) inflation modeling [PDF]
, 2012 A severe limitation of the original autoregressive process of order one or AR(1) process is the Gaussian nature of the assumed residual error distribution while the observed sample residual errors tend to be much more skewed and have a much higher ...
Hürlimann, Werner
core
Continuous-time GARCH processes
, 2006 A family of continuous-time generalized autoregressive conditionally heteroscedastic processes, generalizing the $\operatorname {COGARCH}(1,1)$ process of Kl\"{u}ppelberg, Lindner and Maller [J. Appl. Probab.
Brockwell, Peter +2 more
core +2 more sources
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
Ordinal pattern dependence between hydrological time series [PDF]
, 2016 Ordinal patterns provide a method to measure correlation between time series. In contrast to classical correlation measures like the Pearson correlation coefficient they are able to measure not only linear correlation but also non-linear correlation ...
Fischer, Svenja +2 more
core
Impact of the real exchange rate on Czech trade [PDF]
, 2012 Since the beginning of the transformation process in 1990, the Czech crown has operated in several different exchange rate regimes. The Czech currency appreciated in real terms in all of the regimes.
Němec Daniel, Žídek Libor
core
Skew selection for factor stochastic volatility models. [PDF]
J Appl Stat, 2020 Nakajima J.
europepmc +1 more source
Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise [PDF]
The basic model for high-frequency data in finance is considered, where an efficient price process is observed under microstructure noise. It is shown that this nonparametric model is in Le Cam's sense asymptotically equivalent to a Gaussian shift ...
Markus Reiß
core
Inference Methods for Stochastic Volatility Models
, 2013 Maddalena Cavicchioli
semanticscholar +1 more source
A note on asymptotic inference for FIGARCH($p, d, q$) models
, 2011 N. Chan, C. Ng
semanticscholar +1 more source
Portmanteau test statistics for seasonal serial correlation in time series models. [PDF]
Springerplus, 2016 Mahdi E.
europepmc +1 more source