Results 81 to 90 of about 291,653 (252)

Handling Out‐of‐Sample Areas to Estimate the Unemployment Rate at Local Labour Market Areas in Italy

International Statistical Review, EarlyView.
Summary Unemployment rate estimates for small areas are used to efficiently support the distribution of services and the allocation of resources, grants and funding. A Fay–Herriot type model is the most used tool to obtain these estimates. Under this approach out‐of‐sample areas require some synthetic estimates. As the geographical context is extremely
Roberto Benedetti, Federica Piersimoni, Monica Pratesi, Nicola Salvati, Thomas Suesse   +4 more
wiley   +1 more source

Does Dividend Policy Lead the Economy?

Journal of Money, Credit and Banking, EarlyView.
Abstract I investigate the predictive role of the aggregate dividend–payout ratio (de$\textit{de}$) for future economic activity. A vector‐autoregression‐based variance decomposition shows that the main driving force of de$\textit{de}$ is long‐run predictability of earnings growth, with dividend growth predictability assuming a secondary role ...
PAULO MAIO
wiley   +1 more source

Improving Forecasts of Generalized Autoregressive Conditional Heteroskedasticity with Wavelet Transform

Research Journal of Applied Sciences, Engineering and Technology, 2013
In the study, we discussed the generalized autoregressive conditional heteroskedasticity model and enhanced it with wavelet transform to evaluate the daily returns for 1/4/2002-30/12/2011 period in Brent oil market. We proposed discrete wavelet transform generalized autoregressive conditional heteroskedasticity model to increase the forecasting ...
Yu Zhao, Hong Xu, Xiaoming Zou
openaire   +1 more source

Estimation of the Parameters of Symmetric Stable ARMA and ARMA-GARCH Models [PDF]

arXiv, 2019
In this article, we first propose the modified Hannan-Rissanen Method for estimating the parameters of the autoregressive moving average (ARMA) process with symmetric stable noise and symmetric stable generalized autoregressive conditional heteroskedastic (GARCH) noise.
arxiv  

Forecasting Unemployment Rates in USA using Box-Jenkins Methodology

International Journal of Economics and Financial Issues, 2018
Unemployment, as a measure of market conditions, appears as an economic problem in every society and is a phenomenon with considerable negative social consequences.
Nikolaos Dritsakis, Paraskevi Klazoglou
doaj  

Asymmetric stable stochastic volatility models: estimation, filtering, and forecasting

Journal of Time Series Analysis, EarlyView.
This article considers a stochastic volatility model featuring an asymmetric stable error distribution and a novel way of accounting for the leverage effect. We adopt simulation‐based methods to address key challenges in parameter estimation, the filtering of time‐varying volatility, and volatility forecasting.
Francisco Blasques, Siem Jan Koopman, Karim Moussa   +2 more
wiley   +1 more source

Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model [PDF]

arXiv, 2019
This paper considers a semiparametric generalized autoregressive conditional heteroskedasticity (S-GARCH) model. For this model, we first estimate the time-varying long run component for unconditional variance by the kernel estimator, and then estimate the non-time-varying parameters in GARCH-type short run component by the quasi maximum likelihood ...
arxiv  

A new heteroskedasticity‐robust test for explosive bubbles

Journal of Time Series Analysis, EarlyView.
We propose a new class of modified regression‐based tests for detecting asset price bubbles designed to be robust to the presence of general forms of both conditional and unconditional heteroskedasticity in the price series. This modification, based on the approach developed in Beare (2018) in the context of conventional unit root testing, is achieved ...
David I. Harvey, Stephen J. Leybourne, A. M. Robert Taylor, Yang Zu   +3 more
wiley   +1 more source

Empirical likelihood for martingale differences

Journal of Time Series Analysis, EarlyView.
In this article, we consider an empirical likelihood with vector observations that are martingale differences and prove a Wilks' type theorem under a conditional Lindeberg condition. We then generalize this result to approximate martingale differences.
Anton Schick
wiley   +1 more source

A New Framework For Spatial Modeling And Synthesis of Genome Sequence [PDF]

arXiv, 2019
This paper provides a framework in order to statistically model sequences from human genome, which is allowing a formulation to synthesize gene sequences. We start by converting the alphabetic sequence of genome to decimal sequence by Huffman coding. Then, this decimal sequence is decomposed by HP filter into two components, trend and cyclic.
arxiv