Search Results - subject:"Multivariate Time Series"

Efficient two-step estimation via targeting

Frazier, David T.; Renault, Eric - In: Journal of econometrics 201 (2017) 2, pp. 212-227

Persistent link: https://www.econbiz.de/10011918705

Evaluation of credit value adjustment in K-forward

Hao, Xuemiao; Liang, Chunli; Wei, Linghua - In: Insurance / Mathematics & economics 76 (2017), pp. 95-103

Persistent link: https://www.econbiz.de/10011774785

Multistep ahead forecasting of vector time series

McElroy, Tucker; McCracken, Michael W. - In: Econometric reviews 36 (2017) 5, pp. 495-513

Persistent link: https://www.econbiz.de/10011795256

Exploring ICA for time series decomposition

Ferrer, Antonio García; Prieto, Ester González; … - Departamento de Estadistica, Universidad Carlos III de … - 2011

In this paper, we apply independent component analysis (ICA) for prediction and signal extraction in multivariate time … series data. We compare the performance of three different ICA procedures, JADE, SOBI, and FOTBI that estimate the components …

Persistent link: https://www.econbiz.de/10009024857

Asymmetric forecast densities for U.S. macroeconomic variables from a Gaussian copula model of cross-sectional and serial dependence

Smith, Michael S.; Vahey, Shaun P. - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 3, pp. 416-434

Persistent link: https://www.econbiz.de/10011691656

Detecting causality in non-stationary time series using partial symbolic transfer entropy : evidence in financial data

Papana, Angeliki; Kyrtsou, Catherine; Kugiumtzis, Dimitris - In: Computational economics 47 (2016) 3, pp. 341-365

Persistent link: https://www.econbiz.de/10011712376

Wild bootstrap Ljung-Box test for cross correlations of multivariate time series

Lee, Taewook - In: Economics letters 147 (2016), pp. 59-62

Persistent link: https://www.econbiz.de/10011619440

Multi-period-ahead forecasting with residual extrapolation and information sharing : utilizing a multitude of retail series

Özden Gür Ali; Pinar, Efe - In: International journal of forecasting 32 (2016) 2, pp. 502-517

Persistent link: https://www.econbiz.de/10011597166

Forecasting errors, directional accuracy and proﬁtability of currency trading : the case of EUR/USD exchange rate

Costantini, Mauro; Crespo Cuaresma, Jesús; Hlouskova, … - In: Journal of forecasting 35 (2016) 7, pp. 652-668

Persistent link: https://www.econbiz.de/10011610301

Seasonal Adjustment of an Aggregate Series using Univariate and Multivariate Basic Structural Models

Birrell, C.; Steel, D. G.; Lin, Y. X. - 2010

Time series resulting from aggregation of several sub-series can be seasonally adjusted directly or indirectly. With model-based seasonal adjustment, the sub-series may also be considered as a multivariate system of series and the analysis may be done jointly. This approach has considerable...

Persistent link: https://www.econbiz.de/10009457605