Search Results - subject:"Hidden Markov chain model" - EconBiz

Statistical evidence of tax fraud on the carbon allowances market.

Frunza, Marius-Cristian; Guegan, Dominique; … - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010

The aim of this paper is to show evidence and to quantify with forensic econometric methods the impact of the Value Added Tax fraud on European carbon allowances markets. This fraud mainly occurred at the beginning of between the end of 2008 and the beginning of 2009. In this paper, we explore...

Persistent link: https://www.econbiz.de/10008679901

Dynamic factor analysis of carbon allowances prices: From classic Arbitrage Pricing Theory to Switching Regimes

Frunza, Marius-Cristian; Guegan, Dominique; … - HAL - 2010

. Introducing dynamics inside the parameters of the APT model via a Hidden Markov Chain Model outperforms the results obtained with …

Persistent link: https://www.econbiz.de/10010603635

Statistical evidence of tax fraud on the carbon allowances market

Frunza, Marius-Cristian; Guegan, Dominique; … - HAL - 2010

The aim of this paper is to show evidence and to quantify with forensic econometric methods the impact of the Value Added Tax fraud on European carbon allowances markets. This fraud mainly occurred at the beginning of between the end of 2008 and the beginning of 2009. In this paper, we explore...

Persistent link: https://www.econbiz.de/10010603685

Dynamic factor analysis of carbon allowances prices : From classic Arbitrage Pricing Theory to Switching Regimes.

Frunza, Marius-Cristian; Guegan, Dominique; … - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010

. Introducing dynamics inside the parameters of the APT model via a Hidden Markov Chain Model outperforms the results obtained with …

Persistent link: https://www.econbiz.de/10008461117

Forecasting time series subject to multiple structural breaks

Timmermann, Allan; Pettenuzzo, Davide; Pesaran, … - 2004

account of the size and duration of past breaks (if any) by means of a hierarchical hidden Markov chain model. Predictions are …

Persistent link: https://www.econbiz.de/10010276165

Forecasting Time Series Subject to Multiple Structural Breaks

Timmermann, Allan; Pettenuzzo, Davide; Pesaran, … - 2004

account of the size and duration of past breaks (if any) by means of a hierarchical hidden Markov chain model. Predictions are …

Persistent link: https://www.econbiz.de/10010276180

Forecasting Time Series Subject to Multiple Structural Breaks

Pesaran, M. Hashem; Pettenuzzo, Davide; Timmermann, Allan - CESifo - 2004

account of the size and duration of past breaks (if any) by means of a hierarchical hidden Markov chain model. Predictions are …

Persistent link: https://www.econbiz.de/10005766178

‘Forecasting Time Series Subject to Multiple Structural Breaks’

Pesaran, M.H.; Pettenuzzo, D.; Timmermann, A. - Faculty of Economics, University of Cambridge - 2004

account of the size and duration of past breaks (if any) by means of a hierarchical hidden Markov chain model. Predictions are …

Persistent link: https://www.econbiz.de/10005113834

Forecasting time series subject to multiple structural breaks

Pettenuzzo, Davide; Pesaran, M. Hashem; Timmermann, Allan - 2004

account of the size and duration of past breaks (if any) by means of a hierarchical hidden Markov chain model. Predictions are …

Persistent link: https://www.econbiz.de/10011450047

Applying a hidden Markov chain model in quality function deployment to analyze dynamic customer requirements

Shieh, Jiunn-I; Wu, Hsin-Hung - In: Quality & Quantity: International Journal of Methodology 43 (2009) 4, pp. 635-644

Persistent link: https://www.econbiz.de/10009396543

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