Results 211 to 220 of about 103,352 (315)

Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions [PDF]

We study the joint determination of the lag length, the dimension of the cointegrating space andthe rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using modelselection criteria. We suggest a new two-step model selection
Athanasopoulos, George, Guillén, Osmani Teixeira de Carvalho, Vahid, Farshid, Issler, João Victor   +3 more
core  

On the Bayesian generalized extreme value mixture autoregressive model with adjusted SNR in non-standard actuarial data. [PDF]

MethodsX
Lande CR, Iriawan N, Prastyo DD.
europepmc   +1 more source

Using DSGE and Machine Learning to Forecast Public Debt for France

Journal of Forecasting, EarlyView.
ABSTRACT Forecasting public debt is essential for effective policymaking and economic stability, yet traditional approaches face challenges due to data scarcity. While machine learning (ML) has demonstrated success in financial forecasting, its application to macroeconomic forecasting remains underexplored, hindered by short historical time series and ...
Emmanouil Sofianos, Thierry Betti, Theophilos Papadimitriou, Amélie Barbier‐Gauchard, Periklis Gogas   +4 more
wiley   +1 more source

MARS: a motif-based autoregressive model for retrosynthesis prediction. [PDF]

Bioinformatics
Liu J, Yan C, Yu Y, Lu C, Huang J, Ou-Yang L, Zhao P.   +6 more
europepmc   +1 more source

Forecasting Volatility of Commodity, Currency, and Stock Markets: Evidence From Markov‐Switching Multifractal Models

Journal of Forecasting, EarlyView.
ABSTRACT This paper adopts a bivariate Markov‐switching multifractal (BMSM) model to reexamine comovement in SV between commodity, foreign exchange (FX), and stock markets. After the 2007–2008 global financial crisis understanding volatility linkages and the correlation structure between these markets becomes very important for risk analysts, portfolio
Ruipeng Liu, Mawuli Segnon, Oguzhan Cepni, Rangan Gupta   +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

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