Time Analysis of an Emergent Infection Spread Among Healthcare Workers: Lessons Learned from Early Wave of SARS-CoV-2. [PDF]
Int J Gen Med, 2022 Leme PAF +8 more
europepmc +1 more source
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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Model-based stationarity filtering of long-term memory data applied to resting-state blood-oxygen-level-dependent signal. [PDF]
PLoS One, 2022 Bansal IR +4 more
europepmc +1 more source
"Realized Volatility Risk" [PDF]
In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in ...
David E. Allen +2 more
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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 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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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 in Time Series of Economic Growth and Convergence [PDF]
not availableeconomics of technology ;
Silverberg,Gerald, Verspagen,Bart
core +1 more source
Forecasting commodity prices: empirical evidence using deep learning tools. [PDF]
Ann Oper Res, 2023 Ben Ameur H +4 more
europepmc +1 more source
Testing and Estimating Persistence in Canadian Unemployment. [PDF]
A vital implication of unemployment persistence applies to the Bank of Canada's disinflation policies since it adversely influences unemployment and considerably lengthens recessions.
Curtis J. Eberwein +2 more
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