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  • Search: subject_exact:"Time series analysis"
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Year of publication
Subject
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Zeitreihenanalyse 30,892 Time series analysis 30,739 Theorie 13,726 Theory 13,719 Schätztheorie 6,755 Estimation theory 6,753 Prognoseverfahren 6,152 Forecasting model 6,137 Schätzung 5,985 Estimation 5,983 Volatilität 3,673 Volatility 3,668 USA 2,732 United States 2,721 ARCH model 2,338 ARCH-Modell 2,338 Kointegration 2,272 Cointegration 2,252 Konjunktur 2,138 Business cycle 2,125 Börsenkurs 2,080 Share price 2,077 VAR model 1,836 VAR-Modell 1,836 Einheitswurzeltest 1,732 Unit root test 1,732 Stochastischer Prozess 1,731 Stochastic process 1,718 Capital income 1,715 Kapitaleinkommen 1,715 State space model 1,421 Zustandsraummodell 1,421 Strukturbruch 1,277 Structural break 1,275 Regressionsanalyse 1,215 Regression analysis 1,207 Nichtparametrisches Verfahren 1,134 Nonparametric statistics 1,133 Welt 1,128 World 1,128
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Online availability
All
Free 11,124 Undetermined 6,203 CC license 560
Type of publication
All
Article 16,499 Book / Working Paper 15,251 Journal 50 Other 11
Type of publication (narrower categories)
All
Article in journal 14,754 Aufsatz in Zeitschrift 14,754 Graue Literatur 7,370 Non-commercial literature 7,370 Working Paper 7,243 Arbeitspapier 7,190 Aufsatz im Buch 1,009 Book section 1,009 Hochschulschrift 828 Thesis 656 Collection of articles of several authors 223 Sammelwerk 223 Collection of articles written by one author 167 Sammlung 167 Lehrbuch 162 Textbook 134 Bibliografie enthalten 128 Bibliography included 128 Aufsatzsammlung 126 Konferenzschrift 111 Amtsdruckschrift 95 Government document 95 Conference paper 92 Konferenzbeitrag 92 Systematic review 74 Übersichtsarbeit 74 Dissertation u.a. Prüfungsschriften 69 research-article 68 Forschungsbericht 65 Rezension 55 Conference proceedings 49 Statistik 38 Article 36 Monografische Reihe 33 Statistics 25 Festschrift 23 Mehrbändiges Werk 23 Multi-volume publication 23 Handbook 20 Handbuch 20
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Language
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English 29,977 German 774 Undetermined 586 Spanish 167 French 143 Italian 42 Portuguese 38 Polish 29 Russian 20 Czech 15 Dutch 9 Croatian 7 Swedish 7 Hungarian 6 Turkish 6 Norwegian 5 Finnish 4 Malay (macrolanguage) 4 Slovak 4 Danish 3 Slovenian 3 Chinese 3 Romanian 2 Bulgarian 1 Valencian 1 Japanese 1 Serbian 1
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Author
All
Gil-Alaña, Luis A. 426 Caporale, Guglielmo Maria 286 Phillips, Peter C. B. 273 Koopman, Siem Jan 231 Franses, Philip Hans 217 Gao, Jiti 153 Lütkepohl, Helmut 136 McAleer, Michael 135 Teräsvirta, Timo 132 Gupta, Rangan 117 Pesaran, M. Hashem 116 Lucas, André 115 Sibbertsen, Philipp 115 Harvey, Andrew C. 113 Kapetanios, George 108 Watson, Mark W. 105 Taylor, Robert 104 Härdle, Wolfgang 102 Johansen, Søren 95 Stock, James H. 91 Marcellino, Massimiliano 90 Hyndman, Rob J. 89 Engle, Robert F. 88 Koop, Gary 88 Dijk, Herman K. van 87 Hendry, David F. 87 Perron, Pierre 85 Dijk, Dick van 81 Granger, C. W. J. 81 Linton, Oliver 81 Diebold, Francis X. 80 Kunst, Robert M. 79 Swanson, Norman R. 79 Nielsen, Morten Ørregaard 77 Proietti, Tommaso 76 Mills, Terence C. 72 Robinson, Peter M. 71 Hassler, Uwe 70 Maravall Herrero, Agustín 70 Leybourne, Stephen James 69
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Institution
All
National Bureau of Economic Research 220 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 76 Ekonomiska forskningsinstitutet <Stockholm> 64 International Monetary Fund (IMF) 49 European University Institute / Department of Economics 35 Federal Reserve Bank of New York 35 Federal Reserve Board (Board of Governors of the Federal Reserve System) 35 Federal Reserve Bank of St. Louis 33 European Commission / Statistical Office of the European Communities 25 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 20 Umeå universitet 18 Federal Reserve Bank of Cleveland 17 Econometrisch Instituut <Rotterdam> 15 European Commission / Statistical Office of the European Union 15 Centre for Quantitative Economics & Computing 14 Centre for Analytical Finance <Århus> 13 Escola de Pós-Graduação em Economia <Rio de Janeiro> 12 Umeå Universitet / Institutionen för Nationalekonomi 12 EconWPA 11 Gottfried Wilhelm Leibniz Universität Hannover 11 European University Institute / Department of Law 10 Federal Reserve Bank of Dallas 10 University of Cambridge / Department of Applied Economics 10 European Commission / Joint Research Centre 9 Federal Reserve Bank of Kansas City 9 Federal Reserve Bank of Philadelphia 9 London School of Economics and Political Science 9 Aarhus Universitet / Afdeling for Nationaløkonomi 8 Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre 8 Federal Reserve Bank of Atlanta 8 Federal Reserve Bank of Minneapolis 8 Europäische Kommission / Statistisches Amt 7 Federal Reserve Bank of Chicago 7 Federal Reserve Bank of San Francisco 7 Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund 7 Ludwig-Maximilians-Universität München / Volkswirtschaftliche Fakultät 7 University of Strathclyde / Department of Economics 7 Birkbeck College / Department of Economics 6 Christian-Albrechts-Universität zu Kiel / Institut für Weltwirtschaft 6 Department of Econometrics and Business Statistics, Monash Business School 6
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Published in...
All
Journal of econometrics 766 International journal of forecasting 560 Economics letters 471 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 421 Journal of forecasting 366 Applied economics 354 Econometric theory 344 Discussion paper / Tinbergen Institute 337 Economic modelling 284 Econometric reviews 255 Applied economics letters 241 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 240 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 221 Working paper / Department of Econometrics and Business Statistics, Monash University 209 Working paper 196 Energy economics 195 NBER Working Paper 184 NBER working paper series 173 Computational economics 165 CREATES research paper 164 Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 160 Journal of applied econometrics 154 CESifo working papers 148 Working paper / National Bureau of Economic Research, Inc. 139 Journal of economic dynamics & control 130 Cowles Foundation discussion paper 125 Finance research letters 118 Journal of empirical finance 118 Econometrics : open access journal 117 Oxford bulletin of economics and statistics 114 Discussion paper / Centre for Economic Policy Research 113 The econometrics journal 106 Journal of macroeconomics 97 International review of economics & finance : IREF 95 Physica A: Statistical Mechanics and its Applications 93 The North American journal of economics and finance : a journal of financial economics studies 93 Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics 87 International review of financial analysis 87 SFB 649 discussion paper 82 Discussion paper 81
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Source
All
ECONIS (ZBW) 30,653 RePEc 656 USB Cologne (EcoSocSci) 248 EconStor 95 Other ZBW resources 82 BASE 57 USB Cologne (business full texts) 15 ArchiDok 5
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Showing 1 - 50 of 31,811
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Toward proactive policy design : identifying "to-be" energy-poor households using Shap for early intervention
Budría, Santiago; Fermé, Eduardo; Freitas, Diogo Nuno - 2025
Identifying at-risk populations is essential for designing effective energy poverty interventions. Using data from the HILDA Survey, a longitudinal dataset representative of the Australian population, and a multidimensional index of energy poverty, we develop a machine learning model combined...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015196895
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"Revealing the future" : an ARIMA model analysis for predicting remittance inflows
Khan, Imran; Gunwant, Darshita Fulara - In: Journal of business and socio-economic development 5 (2025) 2, pp. 155-170
Purpose - The purpose of this research is to develop a predictive model that can estimate the volume of remittances channeled toward Yemen's economic reconstruction efforts. Design/methodology/approach - This study utilized a time-series dataset encompassing remittance inflows into Yemen's...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015397368
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Forecasting atmospheric ethane : application to the Jungfraujoch Measurement Station
Friedrich, Marina; Moussa, Karim; Shapovalova, Yuliya; … - 2025
Understanding the developments of atmospheric ethane is essential for better identifying the anthropogenic sources of methane, a major greenhouse gas with high global warming potential. While previous studies have focused on analyzing past trends in ethane and modeling the inter-annual...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015373851
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Long-term care in Germany in the context of the demographic transition : an outlook for the expenses of long-term care insurance through 2050
Vanella, Patrizio; Wilke, Christina Benita; Hess, Moritz - In: Econometrics : open access journal 12 (2024) 4, pp. 1-20
Demographic aging results in a growing number of older people in need of care in many regions all over the world. Germany has witnessed steady population aging for decades, prompting policymakers and other stakeholders to discuss how to fulfill the rapidly growing demand for care workers and...
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The role of the Superbonus in the growth of Italian construction costs
Corsello, Francesco; Ercolani, Valerio - 2024
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Economic determinants of ethereum transaction fees in the priority fee and proof of stake periods
Karajvanov, Alexander K.; Zarifian, Shayan - 2024
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Agricultural production and agricultural employment rate in South Africa : time series analysis approach
Ramakgasha, Molobe Joyce; Thaba, Tshephi Kingsley; … - In: International journal of economics and financial issues … 14 (2024) 4, pp. 148-153
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Food price inflation in the United States as a complex dynamic economic system
Parum, Faith; Dharmasena, Senarath - In: Journal of agricultural & food industrial organization 22 (2024) 2, pp. 113-132
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Forecasting Bitcoin returns : econometric time series analysis vs. machine learning
Berger, Theo; Koubová, Jana - In: Journal of forecasting 43 (2024) 7, pp. 2904-2916
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Country economic security monitoring rapid indicators system
Mitjakov, Sergej Nikolaevič; Mityakov, Evgenii S.; … - In: Economies : open access journal 11 (2023) 8, pp. 1-19
Time series analysis is a method of key importance for systems of various hierarchies' economic security studies. This article's main goal is to develop an economic security rapid indicators system, introducing threshold values and utilizing indices with a one-month sampling period, and its...
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Forecasting the total non-coincidental monthly system peak demand in the Philippines : a comparison of seasonal autoregressive integrated moving average models and artificial neural networks
Parreno, Samuel John - In: International Journal of Energy Economics and Policy : IJEEP 13 (2023) 5, pp. 544-552
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Predicting DJIA, NASDAQ and NYSE index prices using ARIMA and VAR models
Teymurzade, Sahil; Ślepaczuk, Robert - 2023
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014448266
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Time series analysis using different forecast methods and case fatality rate for Covid-19 pandemic
Bhattacharjee, Atanu; Vishwakarma, Gajendra K.; Gajare, … - In: Regional science policy and practice : RSPP 15 (2023) 3, pp. 506-519
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The impact of natural gas prices on electricity tariffs in the UK
Althaqafi, Mohammad - In: International Journal of Energy Economics and Policy : IJEEP 13 (2023) 2, pp. 86-91
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A threshold GARCH model for Chilean economic uncertainty
Chávez, Diego; Contreras-Reyes, Javier E.; … - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-15
In this paper, an autoregressive moving average (ARMA) model with threshold generalized autoregressive conditional heteroscedasticity (TGARCH) innovations is considered to model Chilean economic uncertainty time series. Uncertainty is measured through the Business Confidence Index (BCI) and...
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Semi-metric portfolio optimization : a new algorithm reducing simultaneous asset shocks
James, Nick; Menzies, Max; Chan, Jennifer - In: Econometrics : open access journal 11 (2023) 1, pp. 1-33
This paper proposes a new method for financial portfolio optimization based on reducing simultaneous asset shocks across a collection of assets. This may be understood as an alternative approach to risk reduction in a portfolio based on a new mathematical quantity. First, we apply recently...
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The Drain Gain : an investigation into how colonial drain helped keep British economy buoyant
Bora, Kabeer - 2023
The global hegemony of Britain in the 19th century is hardly a disputed fact. As a global hegemon, it oversaw the transfer of surplus from the underdeveloped world to its shores. The transfer of surplus was important in maintaining its status as a hegemon. In this essay, I underline the need for...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014483115
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Underwriting cycles in property-casualty insurance : the impact of catastrophic events
Hofmann, Annette; Sattarhoff, Cristina - In: Risks : open access journal 11 (2023) 4, pp. 1-25
This paper challenges the question of existence and predictability of underwriting cycles in the U.S. property and casualty insurance industry. Using an approach in the frequency domain, we demonstrate the existence of a hidden periodic component in annual aggregated loss ratios. The data...
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Weak exogeneity, cointegration and stability tests
Bianchi, Annamaria; Khalaf, Lynda; Urga, Giovanni - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015191531
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Identifying the underlying components of high-frequency data : pure vs jump diffusion processes
Hizmeri, Rodrigo; Izzeldin, Marwan; Urga, Giovanni - 2025
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Freidlin-Wentzell type exit-time estimates for time-inhomogeneous diffusions and their applications
Aleksian, Ashot; Villeneuve, Stéphane - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015192337
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A long short-term memory enhanced realized conditional heteroskedasticity model
Liu, Chen; Wang, Chao; Minh-Ngoc Tran; Kohn, Robert - In: Economic modelling 142 (2025), pp. 1-10
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015192384
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Bayesian analysis for functional coefficient conditional autoregressive range model with applications
Wang, Bin; Qian, Yixin; Yu, Enping - In: Economic modelling 144 (2025), pp. 1-12
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Multilevel time series models for small area estimation of social cohesion indicators based on the Dutch Social Cohesion and Well‐being Survey
Brakel, Jan A. van den; Boonstra, Harm Jan; Smeets, Marc - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015195141
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Copula tensor count autoregressions for modeling multidimensional integer-valued time series
Armillotta, Mirko; Gorgi, Paolo; Lucas, André - 2025
This paper presents a novel copula-based autoregressive framework for multilayer arrays of integer-valued time series with tensor structure. It complements recent advances in tensor time series that predominantly focus on real-valued data and overlook the unique properties of integer-valued time...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015195717
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Testing for nonlinear cointegration under heteroskedasticity
Hanck, Christoph; Massing, Till Philipp Georg - In: Econometric reviews 44 (2025) 4, pp. 512-543
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015196620
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Forecasting banking system liquidity using payment system data in Uzbekistan
Makhmudov, Shakhzod Abdullaevich - 2025
Forecasting banking system liquidity is crucial for the effective monetary policy implementation. This study investigates the effectiveness of various econometric and machine learning models in predicting the autonomous factors of banking system liquidity. The research compares widely used...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015198517
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Score-driven time-varying parameter models with splinebased densities
Brummelen, Janneke van; Gorgi, Paolo; Koopman, Siem Jan - 2025
We develop a score-driven time-varying parameter model where no particular parametric error distribution needs to be specified. The proposed method relies on a versatile spline-based density, which produces a score function that follows a natural cubic spline. This flexible approach nests the...
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Inference in dynamic models for panel data using the moving block bootstrap
Higgins, Ayden; Jochmans, Koen - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015271443
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The equality cookbook: Swiss companies' recipes for gender parity
Raso-Domínguez, Xavier; Vazquez Espinosa, Diana; … - 2025
Corporations are under increasing pressure to align with SDG 5 (Gender Equality), ensuring equal opportunities for women and men in leadership, pay, and career growth. While studies on gender equality are growing, limited research explores the evolutionary paths leading to gender parity. This...
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From waves to rates : enhancing inflation forecasts through combinations of frequency-domain models
Verona, Fabio - 2025
This paper addresses the challenge of inflation forecasting by adopting a thick modeling approach that integrates forecasts from time- and frequency-domain models. Frequency-domain models excel at capturing long-term trends while also accounting for short-term fluctuations. Combining these...
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The impact of oil prices on Kazakhstan's business cycles : an empirical approach considering asymmetry
Akhmet, Alisher; Mussa, Aidynbek - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015330419
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Does the tail of finance wag the dog of the real economy? : dynamic connectedness of the stock market and business confidence
Tita, Anthanasius Fomum; French, Joseph J.; Gurdgiev, … - In: International review of economics & finance : IREF 98 (2025), pp. 1-15
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Nonlinear effects of uncertainty shocks : state dependency and asymmetry
Morita, Hiroshi; Yuasa, Shiro - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015399288
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Quantifying Federal Reserve credibility
Hall, Stephen G.; Tavlas, George S. - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015397784
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Toward Proactive Policy Design: Identifying 'To-Be' Energy-Poor Households Using Shap for Early Intervention
Budría, Santiago; Fermé, Eduardo; Freitas, Diogo Nuno - 2025
Identifying at-risk populations is essential for designing effective energy poverty interventions. Using data from the HILDA Survey, a longitudinal dataset representative of the Australian population, and a multidimensional index of energy poverty, we develop a machine learning model combined...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015338963
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The future of European regional inequalities : Box-Cox transformed ARMA process trend smoothing (BATS) forecasting
Duran, Hasan Engin; Elburz, Zeynep; Çifçi, Burcu Değerli - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015396494
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Beyond aggregates: a dual lens on eurozone trend inflation
Yakut, Dilan Aydın - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015399684
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Asymptotic F and t tests in cointegrating regressions with asymptotically homogeneous functions
Hwang, Jungbin; Sun, Yixiao - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015183163
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Improving disaggregated short-term food inflation forecasts with webscraped data
Beer, Christian; Ferstl, Robert; Graf, Bernhard - 2025 - This version: January 10, 2025
This study examines the effectiveness of using webscraped data to predict price developments in the Austrian food retail sector. We calculate monthly nowcasts of price changes based on daily price data collected by the OeNB since mid-2020, using Eurostat methodology for price index calculation,...
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Distributional dynamics
Bayer, Christian; Calderon, Luis; Kuhn, Moritz - 2025
We develop a new method for deriving high-frequency synthetic distributions of consumption, income, and wealth. Modern theories of macroeconomic dynamics identify the joint distribution of consumption, income, and wealth as a key determinant of aggregate dynamics. Our novel method allows us to...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015185197
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Testing for multiple structural breaks in multivariate long memory regression models
Less, Vivien; Rodrigues, Paulo M. M.; Sibbertsen, Philipp - 2025
This paper focuses on the estimation and testing of multiple breaks that occur at unknown dates in multivariate long memory time series regression models, allowing for fractional cointegration. A likelihood-ratio based approach for estimating the breaks in the parameters and in the covariance of...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015200188
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Relationship between Japanese stock market behavior and category-based news
Nakayama, Jun; Yokouchi, Daisuke - 2025
This study investigates the relationship between news delivered via the QUICK terminal and stock market behavior. Specifically, through an evaluation of the performance of investment strategies that utilize news index created based on its scores indicating positive or negative sentiment, we...
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Assessing the impact of the establishment of Japan advanced semiconductor manufacturing on Taiwani's foreign direct investment in Japan : an interrupted time series analysis
Ko, Yi-Chun - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015371008
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Optimized solar energy forecasting for sustainable development using machine learning, deep learning, and chaotic models
Saadati, Taraneh; Barutcu, Burak - In: International Journal of Energy Economics and Policy : IJEEP 15 (2025) 1, pp. 110-120
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Global sourcing under tariffs : a perspective of time series analysis
Zhang, D. James; Dabadghao, Shaunak S.; Udenio, Maximiliano - 2025
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Hierarchical time series forecasting in emergency medical services
Rostami-Tabar, Bahman; Hyndman, Rob J. - In: Journal of service research 28 (2025) 2, pp. 278-295
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Modeling the relationships among the stock market, gold price, oil price and exchange rate : a MECM and VDA approach
Agrawal, Pravin Kumar; Kumar, Mohit - In: Financial internet quarterly 21 (2025) 1, pp. 1-14
Globalization and liberalization have heightened the volatility and complexity of financial markets, prompting investors to diversify their portfolios across different asset classes. This study investigates the dynamic interrelationships among the Indian stock market benchmark index (Nifty 50),...
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Innovations meet narratives : improving the power-credibility trade-off in macro
Barnichon, Régis; Mesters, Geert - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015374444
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A novel approach to predictive accuracy testing in nested environments
Pitarakis, Jean-Yves - 2025
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