Temporal Structure in Sensorimotor Variability: A Stable Trait, But What For? [PDF]
Comput Brain Behav, 2023 Perquin MN +3 more
europepmc +1 more source
Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models [PDF]
We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular emphasis of this paper is on assessing the performance of long memory time series models in comparison to their short-memory ...
Kaizoji, Taisei, Lux, Thomas
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Forecasting Time Series with Long Memory and Level Shifts, A Bayesian Approach [PDF]
Recent studies have showed that it is troublesome, in practice, to distinguish between long memory and nonlinear processes. Therefore, it is of obvious interest to try to capture both features of long memory and non-linearity into a single time series ...
Silvestro Di Sanzo
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Long Memory Persistence in the Factor of Implied Volatility Dynamics [PDF]
The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IV S). Practical applications require reducing the dimension and characterize its dynamics through a small number of ...
Julius Mungo, Wolfgang Härdle
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Pandemic episodes, CO2 emissions and global temperatures. [PDF]
Theor Appl Climatol, 2022 Monge M, Gil-Alana LA.
europepmc +1 more source
Forecasting commodity prices: empirical evidence using deep learning tools. [PDF]
Ann Oper Res, 2023 Ben Ameur H +4 more
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Forecasting Realized Volatility Using A Nonnegative Semiparametric Model [PDF]
This paper introduces a parsimonious and yet flexible nonnegative semiparametric model to forecast financial volatility. The new model extends the linear nonnegative autoregressive model of Barndorff-Nielsen & Shephard (2001) and Nielsen & Shephard (2003)
Anders ERIKSSON, Daniel PREVE, Jun YU
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On the relationship between Bitcoin and other assets during the outbreak of coronavirus: Evidence from fractional cointegration analysis. [PDF]
Resour Policy, 2022 Bejaoui A, Mgadmi N, Moussa W.
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Forecasting the Romanian Unemployment Rate in Time of Health Crisis-A Univariate vs. Multivariate Time Series Approach. [PDF]
Int J Environ Res Public Health, 2021 Davidescu AA, Apostu SA, Marin A.
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Estimating Permutation Entropy Variability via Surrogate Time Series. [PDF]
Entropy (Basel), 2022 Ricci L, Perinelli A.
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