Results 101 to 110 of about 184,678 (326)
Testing for Structural Breaks and other forms of Non-stationarity: a Misspecification Perspective [PDF]
In the 1980s and 1990s the issue of non-stationarity in economic time series has been in the context of unit roots vs. mean trends in AR(p) models. More recently this perspective has been extended to include structural breaks.
Andreas Koutris +2 more
core
Journal of Forecasting, EarlyView.ABSTRACT Using online job advertisement data improves the timeliness and granularity depth of analysis in the labor market in domains not covered by official data. Specifically, its variation over time may be used as an anticipator of official employment variations.
Pietro Giorgio Lovaglio +1 more
wiley +1 more source
A Deep Learning Framework for Forecasting Medium‐Term Covariance in Multiasset Portfolios
Journal of Forecasting, EarlyView.ABSTRACT Forecasting the covariance matrix of asset returns is central to portfolio construction, risk management, and asset pricing. However, most existing models struggle at medium‐term horizons, several weeks to months, where shifting market regimes and slower dynamics prevail.
Pedro Reis, Ana Paula Serra, João Gama
wiley +1 more source
U.S. and U.K. Interest Rates 1890 - 1934: New Evidence on Structural Breaks [PDF]
This paper presents econometric evidence on whether the founding of the Federal Reserve in 1914 caused a structural change from level-stationarity to difference-stationarity in U.S. and U.K. short-term nominal interest rates.
M. E. Wohar +3 more
core
Hairer-Quastel universality in non-stationarity via energy solution theory [PDF]
, 2023 Kevin Yang
openalex +1 more source
Forecasting House Prices: The Role of Market Interconnectedness
Journal of Forecasting, EarlyView.ABSTRACT While the existing research uncovers interconnections between various housing markets, it largely ignores the question of whether such linkages can improve house price predictions. To address this issue, we proceed in two steps. First, we forecast disaggregated house price growth rates from Australia and China to determine whether ...
Zac Chen +3 more
wiley +1 more source
U.S. and U.K. Inflation: Evidence on Structural Change in the Order of Integration [PDF]
We employ smooth transition models to test the null hypothesis of a unit root in time series on U.S. and U.K. monthly inflation beginning in 1957.
R. Sollis
core
Stationarity of Operator Algebras
Journal of Functional Analysis, 1993 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire +2 more sources
When the Tail Wags the Dog: A Time‐Varying FCVAR Analysis of Bitcoin Market
Journal of Futures Markets, EarlyView.ABSTRACT This paper examines how the relationship between Bitcoin spot and futures markets has evolved using a time‐varying Fractionally Cointegrated Vector Autoregressive (FCVAR) model. We are the first to apply this methodology dynamically to cryptocurrency markets, allowing us to simultaneously analyze long‐run equilibrium, pricing patterns, market ...
Filippo di Pietro +2 more
wiley +1 more source
Considering spatiotemporal evolutionary information in dynamic multi‐objective optimisation
CAAI Transactions on Intelligence Technology, EarlyView., 2023 Abstract Preserving population diversity and providing knowledge, which are two core tasks in the dynamic multi‐objective optimisation (DMO), are challenging since the sampling space is time‐ and space‐varying. Therefore, the spatiotemporal property of evolutionary information needs to be considered in the DMO.
Qinqin Fan +3 more
wiley +1 more source