Results 211 to 220 of about 23,472 (239)

Nonstationarity of Stock Returns

2015
Theoretical framework and an appropriate algorithm is developed to measure the nonstationarity (NS) of data streams. With the nonstationary measure, the properties of stock returns are studied. Three experiments illustrate that: the nonstationarity of stock return can not be diversified with big portfolio; nonstationarity, which can explain the risk ...
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Nonstationarity and Cointegrations

2022
Changquan Huang, Alla Petukhina
openaire   +1 more source

Investigations of Nonstationarity in Prices

The Journal of Business, 1974
Boness, A James, Chen, Andrew H Y, Jatusipitak, Som   +2 more
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Nonlinearities and Nonstationarities in Stock Returns

Journal of Business & Economic Statistics, 1998
This article addresses the question of whether recent findings of nonlinearities in high-frequency financial time series have been contaminated by possible shifts in the distribution of the data. It applies a recursive version of the Brock–Dechert–Scheinkman statistic to daily data on two stock-market indexes between January 1980 and December 1990.
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Some aspects of nonstationarity. II

1990
[For part I see Acta Sci. Math. 54, No. 3/4, 379-389 (1990; Zbl 0762.47004).] Our purpose is to point out a general framework exactly for the aspect of parametrizing solutions of completion problems. Actually, we consider the following problem. Fix \(N\in \mathbb{Z}\cup \{\infty\}\), \(M\in \mathbb{Z}\cup \{- \infty\}\), \(M\leq N\), where \(\mathbb{Z}\
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Impact of geostatistical nonstationarity on convolutional neural network predictions

Computational Geosciences, 2022
Lei Liu, Masa Prodanovic, Michael J Pyrcz   +2 more
exaly  

THE NONSTATIONARITY OF GERMAN AGGREGATE OUTPUT

Jahrbücher fur Nationalokonomie und Statistik, 1993
In this paper the stationarity of German per capita output for the period 1870-1989 is examined, using both a parametric and a non-parametric approach. The standard unit root tests and the scaled variogram suggest that German output is not stationary.
Haan, Jakob de, Zelhorst, Dick
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Exploring multidecadal changes in climate and reservoir storage for assessing nonstationarity in flood peaks and risks worldwide by an integrated frequency analysis approach

Water Research, 2020
Yanlai Zhou
exaly  

Impact assessment of climate change and urbanization on the nonstationarity of extreme precipitation: A case study in an urban agglomeration in the middle reaches of the Yangtze river

Sustainable Cities and Society, 2022
Feiyu Wang
exaly  

Quantifying the effect of ground-motion nonstationarity on the nonlinear dynamic responses of an ultra-high arch dam

Soil Dynamics and Earthquake Engineering, 2022
Duruo Huang
exaly