Search Results - subject:"multivariate"

A nonparametric conditional copula-based imputation method

Di Lascio, F. Marta L.; Gatto, Aurora - 2025

Persistent link: https://www.econbiz.de/10015437084

Evaluating density forecasts using weighted multivariate scores in a risk management context

Cheng, Jie - In: Computational economics 64 (2024) 6, pp. 3617-3643

Persistent link: https://www.econbiz.de/10015144255

Adaptive LASSO-MGARCH for multivariate volatility forecasting

Xu, Yongdeng; Lyu, Juyi; Lu, Wenna - 2026

This paper evaluates an Adaptive LASSO-MGARCH model for multivariate volatility forecasting, with an application to …-specific adaptive penalisation directly into the multivariate GARCH variance equations, the model delivers a sparse and data …

Persistent link: https://www.econbiz.de/10015614300

An empirical analysis of volatility spillovers in SAARC stock markets using multivariate garch models

Vairasigamani, P.; Amilan S; Vadivel, A.; Patel, Versha - In: Thailand and the world economy 43 (2025) 3, pp. 42-62

(India, Sri Lanka, Bangladesh, and Pakistan) equity markets, this study employed four-dimensional Multivariate GARCH models …

Persistent link: https://www.econbiz.de/10015464152

Estimation of high-dimensional volatility matrices with dynamic conditional correlation-embedded mixed factor structures

Dai, Runyu; Matsuda, Yasumasa - 2026

Persistent link: https://www.econbiz.de/10015641735

Extended multivariate EGARCH model : a model for zero-return and negative spillovers

Xu, Yongdeng - In: Journal of forecasting 44 (2025) 4, pp. 1266-1279

Persistent link: https://www.econbiz.de/10015464638

Multivariate two-sample permutation test with directional alternative for categorical data

Bonnini, Stefano; Borghesi, Michela - In: Statistics in transition : an international journal of … 26 (2025) 3, pp. 181-194

multivariate categorical response variable. The motivating example is a typical case-control biomedical study, performed to … equality in the distribution of the multivariate responses of the two groups, whereas under the alternative hypothesis, the … (CPT) method, which is suitable for analyzing multivariate categorical data in the presence of confounding factors. A …

Persistent link: https://www.econbiz.de/10015506715

Multivariate economic tail risk and scenario analysis using the survey of professional forecasters

Schick, Manuel; Opschoor, Anne - 2026

Persistent link: https://www.econbiz.de/10015638609

Classification of Latin American and Caribbean countries based on multidimensional development indicators : a multivariate empirical analysis

Mendoza-Mendoza, Adel; Visbal-Cadavid, Delimiro; … - In: Economies : open access journal 13 (2025) 6, pp. 1-21

This study develops a multidimensional classification of Latin American and Caribbean countries based on a multidimensional set of economic, social, technological, and environmental indicators. This study develops a multidimensional assessment of the performance of Latin American and Caribbean...

Persistent link: https://www.econbiz.de/10015439162

Copula tensor count autoregressions for modeling multidimensional integer-valued time series

Armillotta, Mirko; Gorgi, Paolo; Lucas, André - 2025

This paper presents a novel copula-based autoregressive framework for multilayer arrays of integer-valued time series with tensor structure. It complements recent advances in tensor time series that predominantly focus on real-valued data and overlook the unique properties of integer-valued time...

Persistent link: https://www.econbiz.de/10015195717