Results 41 to 50 of about 7,220 (228)
Geometric shrinkage priors for K\"ahlerian signal filters
, 2015 We construct geometric shrinkage priors for K\"ahlerian signal filters. Based on the characteristics of K\"ahler manifolds, an efficient and robust algorithm for finding superharmonic priors which outperform the Jeffreys prior is introduced. Several ans\"
Choi, Jaehyung, Mullhaupt, Andrew P.
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Modeling long-range cross-correlations in two-component ARFIMA and FIARCH processes
, 2007 We investigate how simultaneously recorded long-range power-law correlated multi-variate signals cross-correlate. To this end we introduce a two-component ARFIMA stochastic process and a two-component FIARCH process to generate coupled fractal signals ...
Alfonso Lam Ng +30 more
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Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility [PDF]
, 2013 This paper investigates how the conditional quantiles of future returns and volatility of financial assets vary with various measures of ex-post variation in asset prices as well as option-implied volatility.
Barunik, Jozef, Zikes, Filip
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Annales Mathematicae Silesianae, 2018 In this survey paper we present a systematic methodology of how to identify origins of fractional dynamics. We consider three models leading to it, namely fractional Brownian motion (FBM), fractional Lévy stable motion (FLSM) and autoregressive ...
Weron Aleksander
doaj +1 more source
Unnes Journal of Mathematics, 2022 Model ARFIMA-HYGARCH merupakan model yang dapat menjelaskan time series jangka panjang dan dapat mengatasi masalah ragam yang heterogen serta pengaruh asimetrik dalam data return IHSG.
Nurhayun Rismawati, S. Sugiman
semanticscholar +1 more source
Mathematics, 2021 The peaks-over-threshold (POT) method has a long tradition in modelling extremes in environmental variables. However, it has originally been introduced under the assumption of independently and identically distributed (iid) data. Since environmental data
Pushpa Dissanayake +3 more
doaj +1 more source
A Comparative Study for Estimate Fractional Parameter of ARFIMA Model
Journal of economic and administrative sciences, 2022 Long memory analysis is one of the most active areas in econometrics and time series where various methods have been introduced to identify and estimate the long memory parameter in partially integrated time series.
Ammar Muayad Saber, R. A. Saleh
semanticscholar +1 more source
Journal of Forecasting, EarlyView.ABSTRACT We study the accuracy of a variety of parametric price duration‐based realized variance estimators constructed via various financial duration models and compare their forecasting performance with the performance of various nonparametric return‐based realized variance estimators.
Björn Schulte‐Tillmann +2 more
wiley +1 more source
International Journal of Finance &Economics, EarlyView.ABSTRACT One of the critical risks associated with cryptocurrency assets is the so‐called downside risk, or tail risk. Conditional Value‐at‐Risk (CVaR) is a measure of tail risks that is not normally considered in the construction of a cryptocurrency portfolio.
Xinran Huang +3 more
wiley +1 more source
Combining long memory and level shifts in modeling and forecasting the volatility of asset returns [PDF]
, 2015 We propose a parametric state space model of asset return volatility with an accompanying estimation and forecasting framework that allows for ARFIMA dynamics, random level shifts and measurement errors.
Perron, Pierre, Varneskov, Rasmus T.
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