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
Transfer learning based CEEMDAN-VMD secondary decomposition and multi-scale modeling for short-term electricity market price trend forecasting. [PDF]
Sci RepZhang Y, Song X, Li C, Zhang Z, Zhang J.
europepmc +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 +2 more
wiley +1 more source
The quantile domain volatility shock transmission between carbon emission trading system and European emerging stock markets: Practical implications for portfolio optimization. [PDF]
PLoS OneAljughaiman AA +3 more
europepmc +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 +2 more
wiley +1 more source
Testing for the footprints of stabilization economic policy in forecast errors. [PDF]
PLoS OneCharemza W +4 more
europepmc +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 +3 more
wiley +1 more source
Forecasting with a Bivariate Hysteretic Time Series Model Incorporating Asymmetric Volatility and Dynamic Correlations. [PDF]
Entropy (Basel)Than HT.
europepmc +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 +2 more
wiley +1 more source
Green credit risk assessment and prediction in China's construction industry: based on the optuna-catboost model. [PDF]
Sci RepQin Z, Meng M, Li D, Li J.
europepmc +1 more source