Results 71 to 80 of about 45,179 (311)
tail behavior of a threshold autoregressive stochastic volatility model [PDF]
We consider a threshold autoregressive stochastic volatility model where the driving noises are sequences of iid regurlarly random vatiables. We prove that both the right and the left tails of the marginal distribution of the log-volatility process are ...
Dominique Guegan, Aliou Diop
core
A bivariate uniform autoregressive process
Uniform autoregressive process, new uniform autoregressive process, first-order, second-order, bivariate uniform autoregressive process, autocovariance and autocorrelation matrix, estimation,
Miroslav Ristić, Biljana Popović
core +1 more source
Joint segmentation of piecewise constant autoregressive processes by using a hierarchical model and a Bayesian sampling approach [PDF]
, 2006 We propose a joint segmentation algorithm for piecewise constant autoregressive (AR) processes recorded by several independent sensors. The algorithm is based on a hierarchical Bayesian model.
Davy, Manuel +2 more
core +1 more source
Return and Volatility Spillovers Among Major Cotton Markets
Agribusiness, EarlyView.ABSTRACT This study explores return and volatility transmission among major cotton markets. Several events have disrupted cotton supply and demand in recent years, leading to heightened price volatility and significant shifts in market interconnections.
Susmitha Kalli +3 more
wiley +1 more source
THE RELATIONSHIP BETWEEN EXPORTS AND ECONOMIC GROWTH IN EAST ASIAN COUNTRIES: A MULTIVARIATE THRESHOLD AUTOREGRESSIVE APPROACH [PDF]
During the process of economic development, different economic policies are adopted in accordance with particular circumstances. Therefore, conventional methods of time-series analysis may give misleading results if the problems associated with regime ...
Chien-Hui Lee, Bwo-Nung Huang
core
Does a Specialized Niche Market Vegetable Processor Enjoy Bargaining Power?
Agribusiness, EarlyView.ABSTRACT Agribusiness companies may achieve competitive advantage through specialization within niche markets. One such niche is the fresh‐cut fruit and vegetable market, which has been steadily growing in Germany. This study examines whether the specialization of a German fresh‐cut producer grants it with market power within this niche market.
Nikolas Bublik +3 more
wiley +1 more source
A Note on the Properties of Generalised Separable Spatial Autoregressive Process
Journal of Probability and Statistics, 2009 Spatial modelling has its applications in many fields like geology, agriculture, meteorology, geography, and so forth. In time series a class of models known as Generalised Autoregressive (GAR) has been introduced by Peiris (2003) that includes an index ...
Mahendran Shitan, Shelton Peiris
doaj +1 more source
Impact of conditional modelling for a universal autoregressive quantum state [PDF]
QuantumWe present a generalized framework to adapt universal quantum state approximators, enabling them to satisfy rigorous normalization and autoregressive properties.
Massimo Bortone +2 more
doaj +1 more source
Prediction focussed model selection for autoregressive models. [PDF]
In order to make predictions of future values of a time series, one needs to specify a forecasting model. A popular choice is an autoregressive time series model, where the order of the model is chosen by an information criterion. We propose an extension
Croux, Christophe +2 more
core
Agribusiness, EarlyView.ABSTRACT The US hemp market is a new and nascent industry that has been devoid of research for about half a century. This study examined the effects of exogenous shock on price at each phase of the value chain—Farm (hemp biomass), and its impact on prices at other phases of the value chain—Intermediary Processor (crude cannabidiol hemp) and Final ...
Solomon Odiase +2 more
wiley +1 more source