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SSRN Electronic Journal, 2006 Any series of observations ordered along a single dimension, such as time, may be thought of as a time series. The emphasis in time series analysis is on studying the dependence among observations at different points in time. What distinguishes time series analysis from general multivariate analysis is precisely the temporal order imposed on the ...
Lutz Kilian +3 more
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Multifractality in time series [PDF]
Journal of Physics A: Mathematical and General, 2000 22 pages, Revtex, 4 ps figures - To appear J. Phys. A (2000)
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Entropy, 2021 Time series consist of data observed sequentially in time, and they are assumed to stem from an underlying stochastic process [...]
Christian H. Weiß
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Physica D: Nonlinear Phenomena, 2000 28 pages, 23 figures, software at http://www.mpipks-dresden.mpg.de ...
Thomas Schreiber, Andreas Schmitz
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SSRN Electronic Journal, 2011 AbstractWe document significant “time series momentum” in equity index, currency, commodity, and bond futures for each of the 58 liquid instruments we consider. We find persistence in returns for one to 12 months that partially reverses over longer horizons, consistent with sentiment theories of initial under-reaction and delayed over-reaction.
Lasse Heje Pedersen +3 more
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Time series momentum: Is it there? [PDF]
Journal of Financial Economics, 2018 Time series momentum (TSM) refers to the predictability of the past 12-month return on the next one-month return and is the focus of several recent influential studies. This paper shows that asset-by-asset time series regressions reveal little evidence of TSM, both in- and out-of-sample. While the t-statistic in a pooled regression appears large, it is
HUANG, Dashan +3 more
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On predictability of time series [PDF]
Physica A: Statistical Mechanics and its Applications, 2019 The method to estimate the predictability of human mobility was proposed in [C. Song \emph{et al.}, Science {\bf 327}, 1018 (2010)], which is extensively followed in exploring the predictability of disparate time series. However, the ambiguous description in the original paper leads to some misunderstandings, including the inconsistent logarithm bases ...
Paiheng Xu +5 more
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Implementation of quasi-static time series simulations for analysis of the impact of electric vehicles on the grid [PDF]
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Allenspach, Cyril Armand +4 more
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Times Series: Cointegration [PDF]
SSRN Electronic Journal, 2014 An overview of results for the cointegrated VAR model for nonstationary I(1) variables is given. The emphasis is on the analysis of the model and the tools for asymptotic inference. These include: formulation of criteria on the parameters, for the process to be nonstationary and I(1), formulation of hypotheses of interest on the rank, the cointegrating
Søren Johansen, Søren Johansen
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Denoising Deterministic Time Series [PDF]
, 2006 This paper is concerned with the problem of recovering a finite, deterministic time series from observations that are corrupted by additive, independent noise. A distinctive feature of this problem is that the available data exhibit long-range dependence
Lalley, Steven P., Nobel, Andrew B.
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