Intraday Functional PCA Forecasting of Cryptocurrency Returns
Journal of Forecasting, EarlyView.ABSTRACT We study the functional PCA (FPCA) forecasting method in application to functions of intraday returns on Bitcoin. We show that improved interval forecasts of future return functions are obtained when the conditional heteroscedasticity of return functions is taken into account.
Joann Jasiak, Cheng Zhong
wiley +1 more source
Short-term forecasting and impact analysis of COVID-19 and the stock market in Morocco using ARIMA. [PDF]
PLoS OneAboagye N, Nadarajah S.
europepmc +1 more source
Using DSGE and Machine Learning to Forecast Public Debt for France
Journal of Forecasting, EarlyView.ABSTRACT Forecasting public debt is essential for effective policymaking and economic stability, yet traditional approaches face challenges due to data scarcity. While machine learning (ML) has demonstrated success in financial forecasting, its application to macroeconomic forecasting remains underexplored, hindered by short historical time series and ...
Emmanouil Sofianos +4 more
wiley +1 more source
New-generation AI-driven intelligent decision-making and inventory optimization in the full lifecycle of complex product manufacturing integrating LSTM and Q-learning. [PDF]
Sci RepJiang Z, Dan W, Yu-Fei C.
europepmc +1 more source
Journal of Forecasting, EarlyView.ABSTRACT This paper adopts a bivariate Markov‐switching multifractal (BMSM) model to reexamine comovement in SV between commodity, foreign exchange (FX), and stock markets. After the 2007–2008 global financial crisis understanding volatility linkages and the correlation structure between these markets becomes very important for risk analysts, portfolio
Ruipeng Liu +3 more
wiley +1 more source
Dynamic decision-making and differential game analysis of ESG-constrained closed-loop supply chains under cap-and-trade regulation. [PDF]
Sci RepLan H, Si X, Li X, Tang J.
europepmc +1 more source
DSGE Model Forecasting: Rational Expectations Versus Adaptive Learning
Journal of Forecasting, EarlyView.ABSTRACT This paper compares within‐sample and out‐of‐sample fit of a DSGE model with rational expectations to a model with adaptive learning. The Galí, Smets, and Wouters model is the chosen laboratory using quarterly real‐time euro area data vintages, covering 2001Q1–2019Q4.
Anders Warne
wiley +1 more source
Entropy-Augmented Forecasting and Portfolio Construction at the Industry-Group Level: A Causal Machine-Learning Approach Using Gradient-Boosted Decision Trees. [PDF]
Entropy (Basel)Cohen G, Aiche A, Eichel R.
europepmc +1 more source
Future Postharvest and Food, EarlyView.The detection of toxins in baby food using artificial intelligence. ABSTRACT Infant foods and baby formulas are becoming increasingly popular across the globe owing to their ease of consumption and nutritional value specific to infants. Impurities may find their way into the food chain at any point from the acquisition of raw materials to final ...
Poornima Singh +3 more
wiley +1 more source
Pricing of geometric Asian options in the Volterra-Heston model. [PDF]
Rev Deriv Res (Dordr)Aichinger F, Desmettre S.
europepmc +1 more source