Search Results - subject:"Multivariate Analyse"

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 green and conventional bonds, equities, energy commodities, and EU carbon allowances. By introducing coefficient-specific adaptive penalisation directly into the multivariate GARCH...

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

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

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

Optimal forecast reconciliation for quantiles

Ho-Nguyen, Nam; Alipour, Hossein; Panagiotelis, Anastasios - 2026

Persistent link: https://www.econbiz.de/10015650675

Density-valued VAR models with latent factors

Matsuda, Yasumasa; Haddad, Michel Ferreira Cardia - 2026

Persistent link: https://www.econbiz.de/10015636230

Multivariate statistical analysis of the seismic activity in Morocco using PCA and K-Means clustering

Baraka, Achraf Chakir; Baraka, Kaoutar; Rahmaoui, Mehdi; … - 2026

The rise in seismic waves in Morocco within the last five years prompted an accurate multivariate analysis based on such statistical methods as the classification by the K-Means algorithm and principal component analysis (PCA) of seismic wave quantitative variables for Morocco. The adopted...

Persistent link: https://www.econbiz.de/10015667510

Optimal sample allocation in multivariate stratified sampling : a comparison of deterministic and stochastic optimization algorithms

Pumputis, Dalius - 2026

This study addresses the problem of optimal sample allocation in multivariate stratified sampling, where survey accuracy and cost-efficiency are the key concerns. Two optimization formulations are examined: one aims to minimize the total survey cost subject to constraints on the precision of the...

Persistent link: https://www.econbiz.de/10015667464

Likelihood-free inference for multivariate generalized pareto models

Aka, Samira; Kratz, Marie; Naveau, Philippe - 2026

Persistent link: https://www.econbiz.de/10015677538

Persistence in real GDP growth rates : univariate and multivariate evidence for the US, UK and Japan

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Perez … - 2026

This paper examines persistence in the real GDP growth rates of the US, UK and Japan. For this purpose, both univariate and multivariate parametric and semiparametric fractional integration methods are used. The results indicate cross-country heterogeneity. Specifically, in the case of the US...

Persistent link: https://www.econbiz.de/10015674823

Multivariate perceptions of post-purchase EV ownership issues

Pellegrini, Andrea; Cherchi, Elisabetta; Rose, John M. - 2026

Persistent link: https://www.econbiz.de/10015671519