Search Results - subject:"Autocorrelation"

Generalised spatial autocorrelation coefficients

Wywiał, Janusz - In: Statistics in transition : an international journal of … 26 (2025) 1, pp. 1-8

. The main result of the work is the decomposition of the introduced generalised autocorrelation coefficients into the sum … of ordinary autocorrelation coefficients, but calculated on the basis of the principal components of the originally …

Persistent link: https://www.econbiz.de/10015338287

Spatial autocorrelation of the gender pay gap indicator across the macroregions of the European Union

Matuszewska-Janica, Aleksandra - In: Folia Oeconomica Stetinensia 25 (2025) 1, pp. 180-200

. However, due to the effects resulting from the neighbouring economies' interactions, spatial autocorrelation (SA) should be … identified regions where this type of autocorrelation does exist. This means that for analysed phenomenon geographical proximity …

Persistent link: https://www.econbiz.de/10015492619

Testing for equal predictive accuracy with strong dependence

Coroneo, Laura; Iacone, Fabrizio - In: International journal of forecasting 41 (2025) 3, pp. 1073-1092

Persistent link: https://www.econbiz.de/10015441527

HAR inference for quantile regression in time series

Hwang, Jungbin; Valdés, Gonzalo - 2025

Persistent link: https://www.econbiz.de/10015445619

Constant volatility estimation by classical and bayesian methods in a financial market : an application to Bancolombia's preferential prices

Cortés-García, Christian; Cangrejo-Esquivel, Alvaro - In: Revista de métodos cuantitativos para la economía y … 40 (2025), pp. 1-24

In this paper we propose methods, from a classical and Bayesian approach, to estimate the constant volatility of an asset when it is not appropriate to fit heteroscedastic or stochastic volatility models relative to the sample series of the asset where no large increase in volatility is...

Persistent link: https://www.econbiz.de/10015625862

High-dimensional weighted K-means with serial dependence

Zhang, Zhonghui; Kao, Chihwa; Hwang, Jungbin - 2025

Persistent link: https://www.econbiz.de/10015474059

Is U.S. real output growth non-normal? : a tale of time-varying location and scale

Demetrescu, Matei; Kruse-Becher, Robinson - In: Journal of economic dynamics & control 171 (2025), pp. 1-39

Persistent link: https://www.econbiz.de/10015556434

Long-run risk in stationary vector autoregressive models

Gouriéroux, Christian; Jasiak, Joann - In: Journal of econometrics 248 (2025), pp. 1-21

Persistent link: https://www.econbiz.de/10015556572

Conditional score residuals and diagnostic analysis of serial dependence in time series models

Blasques, F.; Gorgi, P.; Koopman, Siem Jan - In: Journal of business & economic statistics : JBES ; a … 43 (2025) 4, pp. 926-940

Persistent link: https://www.econbiz.de/10015534493

Uncovering hidden insights with long-memory process detection : an in-depth overview

Hassani, Hossein; Yarmohammadi, Masoud; Marvian, Leila - In: Risks : open access journal 11 (2023) 6, pp. 1-15

using the sample autocorrelation function (ACF) to identify long-memory processes. While the ACF establishes the theoretical …

Persistent link: https://www.econbiz.de/10014335857