A Gaussian Mixture Autoregressive Model for Univariate Time Series
, 2015 Leena Kalliovirta +2 more
semanticscholar +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
A Person- and Time-Varying Vector Autoregressive Model to Capture Interactive Infant-Mother Head Movement Dynamics. [PDF]
Multivariate Behav Res, 2021 Chen M +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
Regression quantiles for unstable autoregressive models [PDF]
, 2003 Shiqing Ling, Michael McAleer
openalex +1 more source
Noncausal AR‐ARCH Model and Its Applications to Financial Time Series
International Journal of Finance &Economics, EarlyView.ABSTRACT We extend the noncausal autoregressive models by introducing noncausality into the variance component, allowing the volatility to depend on future prices as well. We refer to this model as the noncausal AR‐ARCH model, and it enables us to account for shocks arising from market agents who possess more information and engage in forward‐looking ...
Yaosong Zhan +3 more
wiley +1 more source
Time-Series Analysis of Deformation and Induced Factors of Reservoir Landslide Deposits
Renmin ZhujiangThe major hydropower projects are significantly influenced by triggering factors such as heavy rainfall and reservoir water level fluctuations, which affect the deformation and stability of landslide deposits on reservoir banks.
TANG Luyun, WANG Rubin
doaj
A hybrid method for biometric authentication-oriented face detection using autoregressive model with Bayes Backpropagation Neural Network. [PDF]
Soft comput, 2021 Vasanthi M, Seetharaman K.
europepmc +1 more source
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
The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model [PDF]
, 2003 Søren Johansen
openalex +1 more source