Results 161 to 170 of about 38,888 (250)

Another Look at the (Ir)Relevance of Long‐Run Risks for Equity Risk Premia

Journal of Money, Credit and Banking, EarlyView.
Abstract I investigate the empirical asset pricing implications of a three‐factor macro model that extends the baseline consumption model Consumption Capital Asset Pricing Model (CCAPM) by adding the innovations in expected long‐run consumption growth (consumption growth news) and expected long‐run consumption variance (variance news) as risk factors ...
PAULO MAIO
wiley   +1 more source

Why Industrial Internet of Things Platforms Fail: A Structuration Theory Perspective on Platform Evolution

Journal of Product Innovation Management, EarlyView.
ABSTRACT Despite their transformative potential, Industrial Internet of Things (IIoT) platforms often fail to evolve into scalable ecosystems. Research on IIoT platforms attributes failure to discrete factors such as governance misalignment or technological complexity and rarely considers how failure unfolds.
Philipp Kernstock, Andreas Hein, Maximilian Schreieck, Helmut Krcmar   +3 more
wiley   +1 more source

The Ecology of Human Sleep (EcoSleep) Cohort Study: Protocol for a longitudinal repeated measurement burst design study to assess the relationship between sleep determinants and outcomes under real‐world conditions across time of year

Journal of Sleep Research, Volume 34, Issue 2, April 2025.
Summary The interplay of daily life factors, including mood, physical activity, or light exposure, influences sleep architecture and quality. Laboratory‐based studies often isolate these determinants to establish causality, thereby sacrificing ecological validity.
Anna M. Biller, Nayab Fatima, Chrysanth Hamberger, Laura Hainke, Verena Plankl, Amna Nadeem, Achim Kramer, Martin Hecht, Manuel Spitschan   +8 more
wiley   +1 more source

Robust Estimation and Inference for Time‐Varying Unconditional Volatility

Journal of Time Series Analysis, EarlyView.
ABSTRACT We derive a general and robust estimator of a large class of parametric specifications of time‐varying unconditional volatility of financial returns, both univariate and multivariate, and establish the Consistency and Asymptotic Normality (CAN) of the estimator.
Adam Lee, Rickard Sandberg, Genaro Sucarrat   +2 more
wiley   +1 more source

Empirical‐Process Limit Theory and Filter Approximation Bounds for Score‐Driven Time Series Models

Journal of Time Series Analysis, EarlyView.
ABSTRACT This article examines the filtering and approximation‐theoretic properties of score‐driven time series models. Under specific Lipschitz‐type and tail conditions, new results are derived, leading to maximal and deviation inequalities for the filtering approximation error using empirical process theory.
Enzo D'Innocenzo
wiley   +1 more source

On Testing for Independence Between Generalized Error Models of Several Time Series

Journal of Time Series Analysis, EarlyView.
ABSTRACT We define generalized innovations associated with generalized error models having arbitrary distributions, that is, distributions that can be mixtures of continuous and discrete distributions. These models include stochastic volatility models and regime‐switching models with possibly zero‐inflated regimes.
Kilani Ghoudi, Bouchra R. Nasri, Bruno N. Rémillard   +2 more
wiley   +1 more source

GARCH MODELI

Ushbu maqolada GARCH modeli va uning tarixi keltirilgan bo’lib, bu model orqali vaqt bo’yicha o’zgaruvchan bo’lgan shartli dispersiya tahlil qilingan.
openaire   +2 more sources

Penalized Convex Estimation in Dynamic Location Models

Journal of Time Series Analysis, EarlyView.
ABSTRACT This paper studies L1$$ {L}^1 $$‐penalized estimation for location models yt=mt+ϵt$$ {y}_t={m}_t+{\epsilon}_t $$, where mt$$ {m}_t $$ is defined by a possibly non‐Markovian recursion and ϵt$$ {\epsilon}_t $$ is a martingale difference sequence with possibly time‐varying conditional variance.
Reda Alami Chentoufi
wiley   +1 more source

Moving Aggregate Modified Autoregressive Copula‐Based Time Series Models (MAGMAR‐Copulas)

Journal of Time Series Analysis, EarlyView.
ABSTRACT Copula‐based time series models can model univariate and stationary time series in a flexible way by decomposing the joint distribution of consecutive observations into a copula and the stationary distribution. Implicitly, this approach assumes a finite Markov order. In reality, a time series may not follow the Markov property.
Sven Pappert
wiley   +1 more source

Parametric Time‐Variation in the Unconditional Volatility: Estimation and Inference

Journal of Time Series Analysis, EarlyView.
ABSTRACT We propose modeling time‐variation in the unconditional volatility by augmenting the standard GARCH model by a deterministic time‐varying intercept. The model, called the additive time‐varying (ATV‐)GARCH model, can be interpreted as a reduced form of a model including covariates and can be derived from a multiplicative decomposition of ...
Niklas Ahlgren, Alexander Back, Timo Teräsvirta   +2 more
wiley   +1 more source