Search Results - subject:"Toeplitz"

Daily news sentiment and monthly surveys : a mixed-frequency dynamic factor model for nowcasting consumer confidence

Algaba, Andres; Borms, Samuel; Boudt, Kris; Verbeken, Brecht - In: International journal of forecasting 39 (2023) 1, pp. 266-278

Persistent link: https://www.econbiz.de/10014462779

Stock index pattern discovery viaToeplitz Inverse Covariance-Based Clustering

Ouyang, Hongbing; Wei, Xiaolu; Wu, Quifeng - In: Romanian journal of economic forecasting 23 (2020) 2, pp. 58-72

Persistent link: https://www.econbiz.de/10012422442

A Wiener-Kolmogorov filter for seasonal adjustment and the Cholesky decomposition of a Toeplitz matrix

Pollock, David Stephen G.; Mise, Emi - In: Computational economics 59 (2022) 3, pp. 913-933

Persistent link: https://www.econbiz.de/10013169117

A fast algorithm for the computation of HAC covariance matrix estimators

Heberle, Jochen; Sattarhoff, Cristina - In: Econometrics 5 (2017) 1, pp. 1-16

This paper considers the algorithmic implementation of the heteroskedasticity and autocorrelation consistent (HAC) estimation problem for covariance matrices of parameter estimators. We introduce a new algorithm, mainly based on the fast Fourier transform, and show via computer simulation that...

Persistent link: https://www.econbiz.de/10011755358

A fast algorithm for the computation of HAC covariance matrix estimators

Heberle, Jochen; Sattarhoff, Cristina - In: Econometrics : open access journal 5 (2017) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10011653828

Eigenportfolios of US equities for the exponential correlation model

Akansu, Ali N.; Xiong, Anqi - In: The journal of investment strategies 9 (2020) 1, pp. 55-77

Persistent link: https://www.econbiz.de/10012597129

An explicit formula for the smoother weights of the Hodrick-Prescott filter

Yamada, Hiroshi; Jahra, Fatima Tuj - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 5, pp. 1-10

Persistent link: https://www.econbiz.de/10012198467

Fourth-order compact scheme for option pricing under the Merton's and Kou's jump-diffusion models

Patel, Kuldip Singh; Mehra, Mani - In: International journal of theoretical and applied finance 21 (2018) 4, pp. 1-26

Persistent link: https://www.econbiz.de/10011892590

Robust barrier option pricing by frame projection under exponential Lévy dynamics

Kirkby, J. Lars - In: Applied mathematical finance 24 (2017) 3/4, pp. 337-386

Persistent link: https://www.econbiz.de/10011815237

Goldbach's conjecture in max-algebra

Szabó, Peter - In: Computational Management Science : CMS 14 (2017) 1, pp. 81-89

Persistent link: https://www.econbiz.de/10011710341