Search Results - subject:"Autoregressive"

On memory-augmented gated recurrent unit network

Yang, Maolin; Li, Muyi; Li, Guodong - In: International journal of forecasting 41 (2025) 2, pp. 844-858

Persistent link: https://www.econbiz.de/10015440800

The impact of the COVID-19 pandemic on the volatility of cryptocurrencies

Karagiannopoulou, Sofia; Ragazou, Konstantina; Passas, … - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-17

autoregressive model, impulse response, and variance decomposition were utilized to analyze the dynamic relationships among the …

Persistent link: https://www.econbiz.de/10014284682

Impact of public transportation on European countries' development : a spatial perspective

Matyas, Andreea - In: Central European economic journal 10 (2023) 57, pp. 403-413

spatial errors, the model that was used was a Spatial Autoregressive Moving Average Model (SARMA). Moreover, the environmental …

Persistent link: https://www.econbiz.de/10014445233

Predicting DJIA, NASDAQ and NYSE index prices using ARIMA and VAR models

Teymurzade, Sahil; Ślepaczuk, Robert - 2023

Persistent link: https://www.econbiz.de/10014448266

Dynamic mixture vector autoregressions with score-driven weights

Gretener, Alexander Georges; Neuenkirch, Matthias; … - 2023

We propose a novel dynamic mixture vector autoregressive (VAR) model in which time-varying mixture weights are driven …

Persistent link: https://www.econbiz.de/10014251324

Forecasting intraday financial time series with sieve bootstrapping and dynamic updating

Shang, Han Lin; Ji, Kaiying - In: Journal of forecasting 42 (2023) 8, pp. 1973-1988

Persistent link: https://www.econbiz.de/10014432826

The vector error correction index model : representation, estimation and identification

Cubadda, Gianluca; Mazzali, Marco - 2023

Persistent link: https://www.econbiz.de/10014248988

Forecasting volatility of the Nordic electricity market an application of the MSGARCH

Naeem, Muhammad; Jassim, Hothefa Shaker; Saleem, Kashif; … - In: Risks : open access journal 13 (2025) 3, pp. 1-19

) under regime switching. Utilizing Markov-switching GARCH (Generalized Autoregressive Conditional Heteroskedasticity) models …

Persistent link: https://www.econbiz.de/10015358886

Towards examining the volatility of top market-cap cryptocurrencies throughout the COVID-19 outbreak and the Russia-Ukraine war : empirical evidence from GARCH-type models

Gherghina, Ştefan Cristian; Constantinescu, … - In: Risks : open access journal 13 (2025) 3, pp. 1-43

The cryptocurrency market, known for its inherent volatility, has been significantly influenced by external shocks, particularly during periods of global crises such as the COVID-19 pandemic and the Russia-Ukraine war. This study investigates the volatility of the top seven cryptocurrencies by...

Persistent link: https://www.econbiz.de/10015358888

Volatility estimation through stochastic processes : evidence from cryptocurrencies

Harasheh, Murad; Bouteska, Ahmed - In: The North American journal of economics and finance : a … 75 (2025) 2, pp. 1-12

Persistent link: https://www.econbiz.de/10015359903