Search Results - subject:"Spectral Analysis"

Moran's I lasso for models with spatially correlated data

Barde, Sylvain; Cherodian, Rowan; Tchuente, Guy - In: The econometrics journal 28 (2025) 3, pp. 423-441

Persistent link: https://www.econbiz.de/10015459769

Forecasting cryptocurrency markets using recurrence and time-frequency analysis-based machine learning algorithms

Kim, Dong Ha; Vanheusden, Frederique J.; Kim, Amee - In: Finance research letters 85 (2025) 5, pp. 1-7

Persistent link: https://www.econbiz.de/10015591122

On the Hamilton-HP filter controversy : evidence from German business cycles

Siemers, Lars - 2024 - This version: 12 December, 2024

James Hamilton put doubt on the quality of the HP filter estimates, and proposed an alternative regression approach to decompose trend and cycle of time series (H filter). We investigate the new H filter in detail and compare it to the HP filter. We apply both to German GDP time series. We find...

Persistent link: https://www.econbiz.de/10015199437

Value-at-risk under measurement error

Doukali, Mohamed; Song, Xiaojun; Taamouti, Abderrahim - In: Oxford bulletin of economics and statistics 86 (2024) 3, pp. 690-713

Persistent link: https://www.econbiz.de/10014543504

Models of the impact of socio-economic shocks on higher education development

Rayevnyeva, Olena; Ponomarenko, Volodymyr; Matusova, Silvia - In: Administrative Sciences : open access journal 14 (2024) 11, pp. 1-28

-series decomposition method and cross-spectral analysis were used. The time-series decomposition allowed us to identify cyclical components … of indicators, based on applying cross-spectral analysis, and the most significant local harmonics and the lag of their …

Persistent link: https://www.econbiz.de/10015178409

On the Hamilton-HP filter controversy: Evidence from German business cycles

Siemers, Lars-H. R. - 2024

Persistent link: https://www.econbiz.de/10015325511

Models of the impact of socio-economic shocks on higher education development

Rayevnyeva, Olena; Ponomarenko, Volodymyr; Matusova, Silvia - In: Administrative Sciences 14 (2024) 11, pp. 1-28

Persistent link: https://www.econbiz.de/10015424381

Financial cycles : how long and how certain?

Gonzalez, Rodrigo Barbone; Marinho, Leonardo Sousa Gomes; … - In: Brazilian review of econometrics : BRE ; the review of … 41 (2021) 2, pp. 1-22

Persistent link: https://www.econbiz.de/10014253206

Forecast combination in the frequency domain

Faria, Gonçalo; Verona, Fabio - 2023

Predictability is time and frequency dependent. We propose a new forecasting method - forecast combination in the frequency domain - that takes this fact into account. With this method we forecast the equity premium and real GDP growth rate. Combining forecasts in the frequency domain produces...

Persistent link: https://www.econbiz.de/10013485890

Financial cycles as early warning indicators : lessons from the Nordic region

Önundur Páll Ragnarsson; Hannesson, Jón Magnús; … - 2019

Persistent link: https://www.econbiz.de/10011992493