Results 41 to 50 of about 178,756 (227)
Forecasting With Dynamic Factor Models Estimated by Partial Least Squares
Journal of Forecasting, EarlyView.ABSTRACT Dynamic factor models (DFMs) have found great success in nowcasting and short‐term macroeconomic forecasting when incorporating large sets of predictive information. The factor loadings are typically estimated cross‐sectionally with principal component analysis (PCA) or maximum likelihood (ML), which ignore whether the factors have predictive ...
Samuel Rauhala
wiley +1 more source
Forecasting Related Time Series
Journal of Applied Econometrics, EarlyView.ABSTRACT A collection of time series are “related” if they follow similar stochastic processes and/or they are statistically dependent. This paper proposes a related time series (RTS) forecasting model that exploits these relationships. The model's foundation is a set of univariate Gaussian autoregressions, one for each series, which are then augmented
Ulrich K. Müller, Mark W. Watson
wiley +1 more source
New Developments in the Eight Vertex Model [PDF]
, 2002 We demonstrate that the Q matrix introduced in Baxter's 1972 solution of the eight vertex model has some eigenvectors which are not eigenvectors of the spin reflection operator and conjecture a new functional equation for Q(v) which both contains the ...
Fabricius, Klaus, McCoy, Barry M.
core
Revisiting EWMA in High‐Frequency‐Based Portfolio Optimization: A Comparative Assessment
Journal of Applied Econometrics, EarlyView.ABSTRACT This paper compares the statistical and economic performance of state‐of‐the‐art high‐frequency (HF) based multivariate volatility models with a simpler, widely used alternative, the Exponentially Weighted Moving Average (EWMA) filter. Using over two decades of 100 U.S.
Laura Capera Romero, Anne Opschoor
wiley +1 more source
Journal of Applied Econometrics, EarlyView.ABSTRACT We present four novel tests of equal predictive accuracy and encompassing á Pitarakis (2023, 2025) for factor‐augmented regressions. Factors are estimated using cross‐section averages (CAs) of grouped series and our theoretical findings are empirically relevant: asymptotic normality, robustness to an overspecification of the number of factors,
Alessandro Morico, Ovidijus Stauskas
wiley +1 more source
International Journal of Climatology, EarlyView.Daily bias‐correction aggregated to monthly scale preserves the cross‐correlation between precipitation and temperature better than direct monthly bias‐correction. The Canonical Correlation Analysis (CCA) method outperforms Quantile Regression (QR) and MACA, yielding lower bias and higher accuracy, highlighting its suitability for multivariate climate ...
Chingka Kalai +3 more
wiley +1 more source
, 1997 The decomposition of a matrix A into a product of two or three matrices can (depending on the characteristics of those matrices) be a very useful first step in computing such things as the rank, the determinant, or an (ordinary or generalized) inverse (of A) as well as a solution to a linear system having A as its coefficient matrix.
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ALLMAT - A TSS/360 FORTRAN 4 subroutine for eigenvalues and eigenvectors of a general complex matrix [PDF]
Subroutine ALLMAT for eigenvalues and eigenvectors of general complex ...
Fair, G.
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Journal of Traumatic Stress, EarlyView.Abstract Adverse childhood experiences (ACEs) are linked to numerous negative physical and mental health outcomes. The current study addressed theoretical, conceptual, and measurement problems by evaluating a novel extension to the seminal ACEs questionnaire (ACEs‐Q).
Borna Loncar +3 more
wiley +1 more source
Eigenvalues and eigenvectors of symmetric matrices, case 320 [PDF]
Eigenvalues and eigenvectors of symmetric matrices using FORTRAN 4 ...
Vandergraft, J. S.
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