Results 171 to 180 of about 62,954 (311)

Autoregressive Point Processes as Latent State-Space Models: A Moment-Closure Approach to Fluctuations and Autocorrelations

, 2018
Michael Rule, Guido Sanguinetti
openalex   +2 more sources

Enhancing Volatility Prediction: A Wavelet‐Based Hierarchical Forecast Reconciliation Approach

Journal of Forecasting, EarlyView.
ABSTRACT Forecasting realized volatility (RV) has been widely studied, with numerous techniques developed to enhance predictive accuracy. Among these techniques, the use of RV decompositions based on intraday asset returns has been applied. However, the use of a frequency‐based decomposition, which provides unique insights into the dynamics of RV ...
Adam Clements, Ajith Perera
wiley   +1 more source

Spatial Autoregressive Models

Geographic Information Science & Technology Body of Knowledge, 2023
Tyler Hoffman, Peter Kedron
openaire   +1 more source

Coherent Forecasting of Realized Volatility

Journal of Forecasting, EarlyView.
ABSTRACT The QLIKE loss function is the stylized favorite of the literature on volatility forecasting when it comes to out‐of‐sample evaluation and the state of the art model for realized volatility (RV) forecasting is the HAR model, which minimizes the squared error loss for in‐sample estimation of the parameters.
Marius Puke, Karsten Schweikert
wiley   +1 more source

Maximum likelihood estimation of matrix exponential spatial specification on seemingly unrelated regression-spatial autoregressive model. [PDF]

MethodsX
Marsono, Setiawan, Kuswanto H.
europepmc   +1 more source

Network Autoregressive Model for the Prediction of COVID-19 Considering the Disease Interaction in Neighboring Countries. [PDF]

Entropy (Basel), 2021
Sioofy Khoojine A, Shadabfar M, Hosseini VR, Kordestani H.   +3 more
europepmc   +1 more source

When the Tail Wags the Dog: A Time‐Varying FCVAR Analysis of Bitcoin Market

Journal of Futures Markets, EarlyView.
ABSTRACT This paper examines how the relationship between Bitcoin spot and futures markets has evolved using a time‐varying Fractionally Cointegrated Vector Autoregressive (FCVAR) model. We are the first to apply this methodology dynamically to cryptocurrency markets, allowing us to simultaneously analyze long‐run equilibrium, pricing patterns, market ...
Filippo di Pietro, Antonio A. Golpe, Jose Carlos Vides   +2 more
wiley   +1 more source

Bayesian modeling of the effect of vaccination and the delta and omicron variants on the COVID-19 epidemic in Burkina Faso using poisson log-linear autoregressive model. [PDF]

Front Public Health
Somda SMA, Traore I, Dabone BEA.
europepmc   +1 more source

A first-order binomial-mixed Poisson integer-valued autoregressive model with serially dependent innovations. [PDF]

J Appl Stat, 2023
Chen Z, Dassios A, Tzougas G.
europepmc   +1 more source

Estimation of Export Supply Model of Bangladesh: Cointegration and Vector Autoregressive Approaches

, 2011
Md. Moniruzzaman
openalex   +2 more sources