Results 31 to 40 of about 10,025,866 (332)
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.
Moskowitz, Tobias J. +2 more
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Physica D: Nonlinear Phenomena, 2000 28 pages, 23 figures, software at http://www.mpipks-dresden.mpg.de ...
Schreiber, Thomas, Schmitz, Andreas
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Clustering Macroeconomic Time Series
, 2017 The data mining technique of time series clustering is well established in many fields. However, as an unsupervised learning method, it requires making choices that are nontrivially influenced by the nature of the data involved.
Augustyński, Iwo +1 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
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Hybrid Time Series Method for Long-Time Temperature Series Analysis
Discrete Dynamics in Nature and Society, 2021 This paper combines discrete wavelet transform (DWT), autoregressive moving average (ARMA), and XGBoost algorithm to propose a weighted hybrid algorithm named DWTs-ARMA-XGBoost (DAX) on long-time temperature series analysis.
Guangdong Huang, Jiahong Li
doaj +1 more source
Polynomial Regressions and Nonsense Inference
Econometrics, 2013 Polynomial specifications are widely used, not only in applied economics, but also in epidemiology, physics, political analysis and psychology, just to mention a few examples.
Daniel Ventosa-Santaulària +1 more
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Antipersistent binary time series
, 2001 Completely antipersistent binary time series are sequences in which every time that an $N$-bit string $\mu$ appears, the sequence is continued with a different bit than at the last occurrence of $\mu$.
Ausloos M +12 more
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Threshold Models for Trended Time Series [PDF]
, 2004 This paper presents the theoretical development of new threshold autoregressive models based on trended time series. The theoretical arguments underlying the models are outlined and a nonlinear economic model is used to derive the specification of the ...
Kapetanios, George
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A Family of Correlated Observations: From Independent to Strongly Interrelated Ones
Stats, 2020 This paper proposes a new classification of correlated data types based upon the relative number of direct connections among observations, producing a family of correlated observations embracing seven categories, one whose empirical counterpart currently
Daniel A. Griffith
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Multifractality in Time Series
, 2000 We apply the concepts of multifractal physics to financial time series in order to characterize the onset of crash for the Standard & Poor's 500 stock index x(t).
+29 more
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