Results 141 to 150 of about 3,197 (255)

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

Detecting Multiple Change Points in Linear Models With Heteroscedasticity

Journal of Time Series Analysis, EarlyView.
ABSTRACT The problem of detecting change points in the parameters of a linear regression model with errors and covariates exhibiting heteroscedasticity is considered. Asymptotic results for weighted functionals of the cumulative sum (CUSUM) processes of model residuals are established when the model errors are weakly dependent and non‐stationary ...
Lajos Horváth, Gregory Rice, Yuqian Zhao   +2 more
wiley   +1 more source

Partial Time‐Varying Regression Modelling Under General Heterogeneity

Journal of Time Series Analysis, EarlyView.
ABSTRACT This paper studies a semiparametric time‐varying regression model in which a subset of regressors is associated with fixed parameters, while the remaining regressors have parameters that evolve smoothly over time. We propose a closed‐form semiparametric Frisch‐Waugh‐Lovell estimator for the fixed parameters, and a non‐parametric kernel type ...
Liudas Giraitis, George Kapetanios, Yufei Li, Tien Chuong Nguyen   +3 more
wiley   +1 more source

The Effects of U.S. Monetary Policy Shocks on Portfolio Diversification

The Manchester School, EarlyView.
ABSTRACT We investigate the impact of changes in U.S. monetary policy on portfolio diversification. We build four different types of portfolios, including a U.S.‐only, a stock‐bond (60/40) portfolio, an international diversified stock portfolio, and an asset diversified portfolio.
Rong Huang, Dimos Kambouroudis, David G. McMillan   +2 more
wiley   +1 more source

Post‐flight assessment of the OSIRIS‐REx Sample Return Capsule (SRC) for organic and other potential contaminants

Meteoritics &Planetary Science, EarlyView.
Abstract Regolith samples from the carbonaceous asteroid Bennu were stowed and delivered to Earth in the OSIRIS‐REx spacecraft's Sample Return Capsule (SRC). We applied multiple analytical techniques to study the components of the post‐flight SRC, with a focus on assessing the conditions and any contaminants to which the Bennu samples were exposed ...
Scott A. Sandford, Jason P. Dworkin, Kevin Righter, Feargus A. J. Abernethy, Romain Alosius, José C. Aponte, James Ball, Eve L. Berger, Denise K. Buckner, Henner Busemann, Simon J. Clemett, George Cody, Jamie Elsila, Dionysis I. Foustoukos, Ian A. Franchi, Daniel P. Glavin, Monica M. Grady, Heather V. Graham, Philipp R. Heck, Amy E. Hofmann, Yongsong Huang, Bumsoo Kim, Daniela Krietsch, Nicole G. Lunning, Colin Maden, Hannah L. McLain, Angel Mojarro, Michel Nuevo, Philippe Schmitt‐Kopplin, Ewerton Santos, Maria Schönbächler, Christopher J. Snead, Kathie L. Thomas‐Keprta, Alexander B. Verchovsky, Harold C. Connolly Jr., Dante S. Lauretta   +35 more
wiley   +1 more source

Data-driven adaptive hybrid models for exchange rate return forecasting. [PDF]

Front Big Data
Adesina OS, Obokoh LO.
europepmc   +1 more source

Governing Credit in the Digital Age: Public Perceptions and Engagement in China's Credit Systems

Regulation &Governance, EarlyView.
ABSTRACT There is a global trend toward embedding personal credit systems and their scoring mechanisms within broader governance infrastructures. A prominent and controversial example is China's Social Credit System (SCS), which plays a central role in the country's data‐driven financial and social governance.
Mo Chen, Carmen Loefflad, Jens Grossklags   +2 more
wiley   +1 more source

Modeling Saudi stock index returns and volatility: a dual approach using GARCH and neural networks. [PDF]

Front Artif Intell
Al-Besher S, Al-Najjar D.
europepmc   +1 more source

Modeling Downside Risks for China's Security Markets: Does Greenness Make Bonds a Safer Haven?

Scottish Journal of Political Economy, EarlyView.
ABSTRACT Motivated by its current defective governance regime and institutional characteristics of green finance, this study models Value‐at‐Risk and Expected Shortfall of security markets for China. We extend Patton et al.'s (2019) models by introducing four exogenous risk factors including China's climate policy uncertainty (CCPU).
Xiao‐Ming Li
wiley   +1 more source