Search Results - subject:"Functional Data"

Predictive functional linear models with diverging number of semiparametric single-index interactions

Liu, Yanghui; Li, Yehua; Carroll, Raymond J.; Wang, Naisyin - In: Journal of econometrics 230 (2022) 2, pp. 221-239

Persistent link: https://www.econbiz.de/10013463776

Permutation tests for equality of distributions of functional data

Bugni, Federico A.; Horowitz, Joel - 2018

a continuous time stochastic process are called functional data. This paper is concerned with comparing two or more … stochastic processes that generate functional data. The data may be produced by a randomized experiment in which there are … data. In contrast to existing methods, the test described here applies to both functional data and multiple treatments. The …

Persistent link: https://www.econbiz.de/10011941452

The impact of sovereign yield curve differentials on value-at-risk forecasts for foreign exchange rates

Fink, Holger; Fuest, Andreas; Port, Henry - In: Risks 6 (2018) 3, pp. 1-19

A functional ARMA-GARCH model for predicting the value-at-risk of the EURUSD exchange rate is introduced. The model implements the yield curve differentials between EUR and the US as exogenous factors. Functional principal component analysis allows us to use the information of basically the...

Persistent link: https://www.econbiz.de/10011996642

Nonparametric forecasting of multivariate probability density functions

Guégan, Dominique; Iacopini, Matteo - 2018

Persistent link: https://www.econbiz.de/10011868987

The impact of sovereign yield curve differentials on value-at-risk forecasts for foreign exchange rates

Fink, Holger Maria; Fuest, Andreas; Port, Henry - In: Risks : open access journal 6 (2018) 3, pp. 1-19

Persistent link: https://www.econbiz.de/10011890808

Permutation tests for equality of distributions of functional data

Bugni, Federico A.; Horowitz, Joel - 2018

Persistent link: https://www.econbiz.de/10011804944

Trading signal, functional data analysis and time series momentum

Boubaker, Sabri; Liu, Zhenya; Lu, Shanglin; Zhang, Yifan - In: Finance research letters 42 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10014581379

Neural network prediction of crude oil futures using B-splines

Butler, Sunil; Kokoszka, Piotr; Miao, Hong; Shang, Han Lin - In: Energy economics 94 (2021), pp. 1-11

Persistent link: https://www.econbiz.de/10012649352

Efficient representation of supply and demand curves on day-ahead electricity markets

Soloviova, Mariia; Vargiolu, Tiziano - In: The journal of energy markets 14 (2021) 1, pp. 99-126

Persistent link: https://www.econbiz.de/10012662353

Identifying and responding to outlier demand in revenue management

Rennie, Nicola; Cleophas, Catherine; Sykulski, Adam M.; … - In: European journal of operational research : EJOR 293 (2021) 3, pp. 1015-1030

Persistent link: https://www.econbiz.de/10012533799