Deep Learning for Bond Yield Forecasting: The LSTM‐LagLasso
International Journal of Finance &Economics, EarlyView.ABSTRACT We present long short‐term memory (LSTM)‐LagLasso, a novel explainable deep learning approach applied to bond yield forecasting. Our method involves feature selection from a large universe of potential features and forecasts bond yields using dynamic LSTM networks.
Manuel Nunes +4 more
wiley +1 more source
Using a spatial autoregressive model with spatial autoregressive disturbances to investigate origin-destination trip flows. [PDF]
PLoS OneNi L, Zhang D.
europepmc +1 more source
An Autoregressive Repeatability Animal Model for Test-Day Records in Multiple Lactations [PDF]
, 2002 J. Carvalheira +3 more
openalex +1 more source
Information Flows, Stock Market Volatility and the Systemic Risk in Global Finance
International Journal of Finance &Economics, EarlyView.ABSTRACT Information flows are a theoretical explanation for stock market volatility, but controversy remains regarding how to measure them. Based on cross‐sectional and temporal properties of information flows, we decompose total trading volume into four types: cross‐country shocks and country‐specific shocks due to arrivals of private information ...
Yen‐Hsiao Chen +3 more
wiley +1 more source
The Circumstance-Driven Bivariate Integer-Valued Autoregressive Model. [PDF]
Entropy (Basel)Wang H, Weiß CH.
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 +4 more
europepmc +1 more source
Methods for the Study of Arterial Baroreflex using the Autoregressive Model
, 2001 Kiyoko Yokoyama +5 more
openalex +2 more sources
International Studies of Economics, EarlyView.ABSTRACT This study examines the impact of climate policy uncertainty (CPU) on world energy stock returns. Evidence shows that a rise in CPU causes stocks to plummet in individual countries, regions, and the world energy stock markets. The negative effects are also exhibited in climate induced risks, the covariance between a change in CPU and equity ...
Thomas C. Chiang
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 HealthLobo J, Kamath A, Kalwaje Eshwara V.
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