Search Results - subject:"Vector ARMA"

A Bayesian Dirichlet auto-regressive moving average model for forecasting lead times

Katz, Harrison; Brusch, Kai Thomas; Weiss, Robert E. - In: International journal of forecasting 40 (2024) 4, pp. 1556-1567

Persistent link: https://www.econbiz.de/10015438453

Measuring the advantages of contemporaneous aggregation in forecasting

Li, Zeda; Wei, William W. S. - In: Journal of forecasting 43 (2024) 5, pp. 1308-1320

Persistent link: https://www.econbiz.de/10015108376

Covid-19 impact on Cryptocurrencies market using Multivariate Time Series Models

Thanakorn Nitithumbundit; Chan, Jennifer S. K. - In: The quarterly review of economics and finance : journal … 86 (2022), pp. 365-375

Persistent link: https://www.econbiz.de/10014249157

Forecasting density function : application in finance

Sen, Rituparna; Ma, Changie - In: Journal of mathematical finance 5 (2015) 5, pp. 433-447

Persistent link: https://www.econbiz.de/10011440098

Temporal aggregation of univariate and multivariate time series models: A survey

Silvestrini, Andrea; Veredas, David - Banca d'Italia - 2008

We present a unified and up-to-date overview of temporal aggregation techniques for univariate and multivariate time series models explaining in detail how these techniques are employed. Some empirical applications illustrate the main issues.

Persistent link: https://www.econbiz.de/10005609326

Comparing Neural Networks and ARMA Models in Artificial Stock Market

Krtek, Jiri; Vošvrda, Miloslav - In: Bulletin of the Czech Econometric Society 18 (2011)

Neural networks - feed-forward neural networks and Elman's simplerecurrent neural networks - are compared with vector … ARMA models- VAR and VARMA - in this paper. They are compared in anartificial stock market. One risk free and one risky …

Persistent link: https://www.econbiz.de/10009371041