Results 101 to 110 of about 27,670 (236)

Testing Distributional Granger Causality With Entropic Optimal Transport

Journal of Time Series Analysis, EarlyView.
ABSTRACT We develop a novel nonparametric test for Granger causality in distribution based on entropic optimal transport. Unlike classical mean‐based approaches, the proposed method directly compares the full conditional distributions of a response variable with and without the history of a candidate predictor.
Tao Wang
wiley   +1 more source

Managing the Risk via the Chi-Squared Distribution in VaR and CVaR with the Use in Generalized Autoregressive Conditional Heteroskedasticity Model

Mathematics
This paper develops a framework for quantifying risk by integrating analytical derivations of Value at Risk (VaR) and Conditional VaR (CVaR) under the chi-squared distribution with empirical modeling via Generalized Autoregressive Conditional ...
Fazlollah Soleymani, Qiang Ma, Tao Liu
doaj   +1 more source

Signal Processing Technique for Combining Numerous MEMS Gyroscopes Based on Dynamic Conditional Correlation

Micromachines, 2015
A signal processing technique is presented to improve the angular rate accuracy of Micro-Electro-Mechanical System (MEMS) gyroscope by combining numerous gyroscopes.
Jieyu Liu, Qiang Shen, Weiwei Qin
doaj   +1 more source

Weather forecasting for weather derivatives : [revised version: January 2, 2004] [PDF]

, 2004
We take a simple time-series approach to modeling and forecasting daily average temperature in U.S. cities, and we inquire systematically as to whether it may prove useful from the vantage point of participants in the weather derivatives market.
Campbell, Sean D., Diebold, Francis X.
core  

Ancestral Irrigation and Women's Political Empowerment

Kyklos, EarlyView.
ABSTRACT This paper advances the hypothesis and establishes empirically that the adoption of irrigation agriculture during the preindustrial period is a predictor of contemporary cross‐country variation in women's political empowerment. Countries whose populations historically relied on irrigation agriculture as their primary subsistence mode tend to ...
Roberto Ezcurra
wiley   +1 more source

Investigating Spillover Effects between Foreign Exchange Rate Volatility and Commodity Price Volatility in Uganda

Economies, 2018
This study investigates the impact of commodity price volatility spillovers on financial sector stability. Specifically, the study investigates the spillover effects between oil and food price volatility and the volatility of a key macroeconomic ...
Lorna Katusiime
doaj   +1 more source

Target zones and conditional volatility: the role of realignments [PDF]

This paper examines the relationship between the conditional volatility of target zone exchange rates and realignments of the system. To investigate this question, modified jump diffusion Generalized Autoregressive Conditional Heteroskedasticity (GARCH ...
Christopher J. Neely
core  

A Dynamic Model for Extreme Hourly Precipitation

Environmetrics, Volume 37, Issue 3, April 2026.
ABSTRACT Despite the scarcity of comprehensive studies at a global scale, many regional analyses report increases in extreme hourly precipitation values. The growing interest in assessing trends in extreme hourly precipitation has outpaced the development of new statistical tools tailored to their features. Typical analyses employ Extreme Value Theory (
Debbie J. Dupuis, Carlotta Pacifici, Luca Trapin   +2 more
wiley   +1 more source

MODELING ROMANIAN EXCHANGE RATE EVOLUTION WITH GARCH, TGARCH, GARCH- IN MEAN MODELS [PDF]

Annals of the University of Oradea: Economic Science, 2011
In this paper we analyze the return of exchange rate in order to test and analyze the best models which are capable of forecasting accurately there evolution. We apply the GARCH family models on the exchange rate return in order to obtain the best models
Cociuba Mihail Ioan, Trenca Ioan
doaj  

Modelling and forecasting exchange-rate volatility with ARCH-type models [PDF]

The statistical analysis of short-run exchange-rate data shows that there is strong heteroskedasticity and serial dependence of volatility. In addition, the empirical distributions are leptokurtic.
Kaehler, Jürgen
core