Similar Search Results

The determinants of the U.S. consumer sentiment: Linear and nonlinear models

El Alaoui, Marwane; Bouri, Elie; Azoury, Nehme - In: International Journal of Financial Studies 8 (2020) 3, pp. 1-13

We examined the determinants of the U.S. consumer sentiment by applying linear and nonlinear models. The data are monthly from 2009 to 2019, covering a large set of financial and nonfinancial variables related to the stock market, personal income, confidence, education, environment,...

Persistent link: https://www.econbiz.de/10013200285

Pruning in perturbation DSGE models: Guidance from nonlinear moving average approximations

Lan, Hong; Meyer-Gohde, Alexander - 2013

provide rigorous support for the practice of pruning that is becoming widespread. Our recursive representation differs from … state consistent with the order of approximation. We compare our algorithm with six different pruning algorithms at second …

Persistent link: https://www.econbiz.de/10010318747

Stock picking via nonsymmetrically pruned binary decision trees

Andriyashin, Anton - 2008

crucial factor in forecasting performance of the trees. While there exists a standard method of tree pruning, which is based … introduces a novel methodology of nonsymmetric tree pruning called Best Node Strategy (BNS). An important property of BNS is … traditional pruning approach by composing two recursive portfolios out of XETRA DAX stocks. Performance forecasts for each of the …

Persistent link: https://www.econbiz.de/10010263732

Learning cost sensitive binary classification rules accounting for uncertain and unequal misclassification costs

Rybizki, Lydia - 2014

This paper proposes cost sensitive criteria for constructing classification rules by supervised learning methods. Reinterpreting established loss functions and considering those introduced by Buja, Stuetzle, et al. (2005) and Hand (2009), we identify criteria reflecting different degrees of...

Persistent link: https://www.econbiz.de/10010334218

A theory of pruning

Lombardo, Giovanni; Uhlig, Harald - 2014

) proposed pruning to deal with this challenge for second order approximations. In this paper, we provide a theory of pruning and … formulas for pruning of any order. We relate it to results described by Judd (1998) on perturbing dynamical systems. …

Persistent link: https://www.econbiz.de/10011605741

Price transmission and policies in biofuels-related global networks

Janda, Karel; Krištoufek, Ladislav; Schererova, Barbora; … - 2022

This article investigates the connections between the prices of biofuels and many traded commodities and other relevant assets in Europe, USA and Brazil. The analysis uses a comprehensive dataset covering price data for 38 traded titles over the period 2003-2020. We utilize the minimum spanning...

Persistent link: https://www.econbiz.de/10013394376

Graph theory approach to prices transmission in the network of commonly used liquid fuels

Janda, Karel; Schererova, Barbora; Sila, Jan; … - 2023

We analyze the relationships within the liquid fuels system and its associated supply chain using innovative network filtering methods, namely the Minimum Spanning Tree and Triangulated Maximally Filtered Graph. Our findings reveal that biofuels form robust connections with their feedstocks that...

Persistent link: https://www.econbiz.de/10014494985

Foods, Fuels or Finances: Which Prices Matter for Biofuels?

Filip, Ondrej; Janda, Karel; Kristoufek, Ladislav; … - 2016

We examine co-movements between biofuels (ethanol and biodiesel) and a wide range of commodities and assets in the USA, Europe, and Brazil. The main contributions are twofold. First, we analyze a unique dataset of 32 commodities and relevant assets (between 2003 and 2015) which is unprecedented...

Persistent link: https://www.econbiz.de/10011787279

Contagion pattern identification through minimum spanning trees during the Asian financial crisis

Marica, Vasile-George - In: Financial Studies 23 (2019) 2 (84), pp. 76-96

Complexity in financial markets is slowly overwhelming canonical statistical modelling. With global crises which stemming from contagion effects becoming more frequent, new tools for financial distress transmission c apture are needed. Graph theory , with its branch on minimum spanning trees can...

Persistent link: https://www.econbiz.de/10012484781

General election effect on the network topology of Pakistan's stock market: Network-based study of a political event

Memon, Bilal Ahmed; Yao, Hongxing; Tahir, Rabia - In: Financial Innovation 6 (2020) 1, pp. 1-14

To examine the interdependency and evolution of Pakistan's stock market, we consider the cross-correlation coefficients of daily stock returns belonging to the blue chip Karachi stock exchange (KSE-100) index. Using the minimum spanning tree network-based method, we extend the financial network...

Persistent link: https://www.econbiz.de/10012602839