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Guegan, Dominique - HAL - 2009

This paper focuses on the use of dynamical chaotic systems in Economics and Finance. In these fields, researchers employ different methods from those taken by mathematicians and physicists. We discuss this point. Then, we present statistical tools and problems which are innovative and can be...

Persistent link: https://www.econbiz.de/10010738625

Supervised kernel principal component analysis for forecasting

Fang, Puyi; Gao, Zhaoxing; Tsay, Ruey S. - In: Finance research letters 58 (2023) 1, pp. 1-7

Persistent link: https://www.econbiz.de/10014581032

Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect

Pourkhanali, Armin; Tafakori, Laleh; Bee, Marco - In: International review of financial analysis 89 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014467094

Estimating stochastic volatility : the rough side to equityreturns

Haynes, Jonathan; Schmitt, Daniel; Grimm, Lukas - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 449-469

Persistent link: https://www.econbiz.de/10012127236

A correcting note on forecasting conditional variance using ARIMA vs. GARCH model

Azimi, Mohammad Naim; Shahidzada, Seyed Farhad - In: International journal of economics and finance 11 (2019) 5, pp. 145-152

Persistent link: https://www.econbiz.de/10012012282

A flexible functional form approach to mortality modeling : do we need additional cohort dummies?

Li, Han; O'Hare, Colin; Vahid, Farshid - In: Journal of forecasting 36 (2017) 4, pp. 357-367

Persistent link: https://www.econbiz.de/10011860431

Estimation and forecasting using mixed-frequency DSGE models

Meyer-Gohde, Alexander; Shabalina, Ekaterina - 2022

higher frequency auxiliary data only for forecasting (see Giannone, Monti and Reichlin (2016)). The second method transforms … our method substantially decreases forecasting errors for recessions, but casting the model in a monthly frequency …

Persistent link: https://www.econbiz.de/10013465707

A parallel-series hybridization of seasonal intelligent based statistical model for demand forecasting

Bahrami, Maryam; Khashei, Mehdi; Amindoust, Atefeh - In: Journal of modelling in management 17 (2022) 4, pp. 1126-1143

Persistent link: https://www.econbiz.de/10014334156

Time-varying higher moments, economic policy uncertainty and renminbi exchange rate volatility

Wu, Xinyu; Mei, Xueting; Yin, Xuebao - In: Journal of risk 25 (2023) 5, pp. 71-99

Persistent link: https://www.econbiz.de/10014370725

FNETS : factor-adjusted network estimation and forecasting for high-dimensional time series

Barigozzi, Matteo; Cho, Haeran; Owens, Dom - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 890-902

Persistent link: https://www.econbiz.de/10015053503