Results 191 to 200 of about 283,485 (287)

The Circumstance-Driven Bivariate Integer-Valued Autoregressive Model. [PDF]

Entropy (Basel)
Wang H, Weiß CH.
europepmc   +1 more source

Evaluating Forecasts at Multiple Horizons: An Extension of the Diebold–Mariano Approach

Journal of Forecasting, EarlyView.
ABSTRACT Forecast accuracy tests are fundamental tools for comparing competing predictive models. The widely used Diebold–Mariano (DM) test assesses whether differences in forecast errors are statistically significant. However, its standard form is limited to pairwise comparisons at a single forecast horizon.
Andrew Grant, Matus Mrazik, Steve Satchell   +2 more
wiley   +1 more source

Using a spatial autoregressive model with spatial autoregressive disturbances to investigate origin-destination trip flows. [PDF]

PLoS One
Ni L, Zhang D.
europepmc   +1 more source

An Interpretable Hybrid Predictive Model of COVID-19 Cases using Autoregressive Model and LSTM

, 2022
Zhang Y, Tang S, Yu G.
europepmc   +1 more source

Modelling COVID-19 incidence in the African sub-region using smooth transition autoregressive model. [PDF]

Model Earth Syst Environ, 2022
Aidoo EN, Ampofo RT, Awashie GE, Appiah SK, Adebanji AO.   +4 more
europepmc   +1 more source

The Role of Price‐Volatility Cojumps in Volatility Forecasting

Journal of Futures Markets, EarlyView.
ABSTRACT This paper investigates whether simultaneous jumps in prices and volatility improve volatility forecasting. Using up‐to‐date high‐frequency S&P 500 and VIX data, we identify price‐volatility cojumps at the intraday granularity and construct upside, downside, and asymmetric measures.
Kefu Liao
wiley   +1 more source

Corrigendum: Degenerate Beta autoregressive model for proportion time-series with zeros or ones: an application to antimicrobial resistance rate using R shiny app. [PDF]

Front Public Health
Lobo J, Kamath A, Kalwaje Eshwara V.
europepmc   +1 more source

On the Comovement of Contango and Backwardation Across Futures Commodity Markets

Journal of Futures Markets, EarlyView.
ABSTRACT We examine the time‐varying nature of the comovement of the slope of the futures curve in major agricultural, metals and energy commodity futures markets in a Global Vector Autoregressive model. We find significant comovement between the slopes, indicating the co‐existence of backwardation and contango in many seemingly unrelated commodity ...
Angelo Luisi, Francesco Roccazzella, Athanasios Triantafyllou   +2 more
wiley   +1 more source

Systematic evaluation of integration between China's digital economy and sports industry: Two-stage grey relational analysis and vector autoregressive model. [PDF]

PLoS One
Sun X, Su L, Zhou B, Bu T, Zhang Y.
europepmc   +1 more source

Quadratic Hedging of American Options Under GARCH Models

Journal of Futures Markets, EarlyView.
ABSTRACT American options are widely traded in financial markets, yet there is a scarcity of literature on hedging in incomplete markets. In this paper, we derive optimal hedging ratios and option values using Local Risk Minimization (LRM) and Global Risk Minimization (GRM) hedging strategies through dynamic programming.
Junmei Ma, Chen Wang, Wei Xu
wiley   +1 more source