Extreme value theory for moving average processes with light-tailed innovations [PDF]
, 2005 We consider stationary infinite moving average processes of the form $Y_n = \sum c_i Z_{n+i}$, where the sum ranges over the integers, (Z_i) is a sequence of iid random variables with ``light tails'' and (c_i) is a sequence of positive and summable ...
Lindner, Alexander M. +2 more
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A strong deviation theorem and its application to herding effect
Results in Applied Mathematics, 2020 Wang and Yang (2011) studied the strong deviation theorems of the n-th order identical distribution (for short i.d.) random sequences. In the present paper we arrive at the strong deviation theorems for the moving averages of the third order non ...
Zixian Cui +3 more
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The first 2 years of COVID-19 in Italy: Incidence, lethality, and health policies
Frontiers in Public Health, 2022 BackgroundThe novel coronavirus disease 2019 (COVID-19) is an ongoing pandemic that was first recognized in China in December 2019. This paper aims to provide a detailed overview of the first 2 years of the pandemic in Italy.Design and methodsUsing the ...
Pierpaolo Ferrante
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On limit theory for functionals of stationary increments Lévy driven moving averages [PDF]
Electronic Journal of Probability, 2018 In this paper we obtain new limit theorems for variational functionals of high frequency observations of stationary increments L\'evy driven moving averages. We will see that the asymptotic behaviour of such functionals heavily depends on the kernel, the
A. Basse-O’Connor +2 more
semanticscholar +1 more source
Algorithmic Trading, Price-Based Functions, Daily and Intraday Moving Averages, Average Directional Index (ADX), Buy-and-Hold Strategy [PDF]
راهبرد مدیریت مالیTraders and investors have always sought to maximize profits and manage risks associated with their investments. Over the past decades, various tools have been developed to achieve these objectives.
Hamid Hasani, Saeed Rahimian
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Market timing with moving averages for fossil fuel and renewable energy stocks
Energy Reports, 2020 The paper examines whether the Moving Average (MA) technique can outperform random market timing in the energy sector, compiled of fossil and renewable energy producers.
Chia-Lin Chang +3 more
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A new measure of volatility using induced heavy moving averages
Technological and Economic Development of Economy, 2019 The volatility is a dispersion technique widely used in statistics and economics. This paper presents a new way to calculate volatility by using different extensions of the ordered weighted average (OWA) operator.
Ernesto León-Castro +4 more
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Multi-dimensional normal approximation of heavy-tailed moving averages [PDF]
, 2022 In this paper we extend the refined second-order Poincaré inequality for Poisson functionals from a one-dimensional to a multi-dimensional setting. Its proof is based on a multivariate version of the Malliavin–Stein method for normal approximation on ...
Azmoodeh, E, Ljungdahl, MM, Thäle, C
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Optimal Length of Moving Average to Forecast Futures Basis
Journal of Agricultural and Resource Economics, 2010 The question addressed in this study is which length of historical moving average provides the best forecast of futures basis. Differences in observed forecast accuracy among the different moving averages are usually less than a cent per bushel, and most
Robert B. Hatchett +2 more
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Technical trading rules' profitability and dynamic risk premiums of cryptocurrency exchange rates [PDF]
Journal of Capital Markets Studies, 2022 Purpose – The study considers time-varying risk premium in investigating the capability of technical analysis (TA) to predict and outperform a buy–hold strategy in Bitcoin exchange rate returns. Design/methodology/approach – The study tests the technical
Khumbulani L. Masuku, Thabo J. Gopane
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