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Clustering Huge Number of Financial Time Series : A Panel Data Approach with High-Dimensional Predictors and Factor Structures
Ando, Tomohiro - 2016
-dimensional panel data with grouped factor structures. The proposed method attempts to capture the level of similarity of each of the …
Persistent link: https://www.econbiz.de/10013004036
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Functional kriging prediction of pollution series : the geostatistical alternative for spatially-fixed data
Montero, José-María; Fernández-Avilés, Gema - In: Estudios de economía aplicada : revista promovida por … 33 (2015) 1, pp. 145-173
Persistent link: https://www.econbiz.de/10010515787
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The relation between overreaction in forecasts and uncertainty : a nonlinear approach
Leppin, Julian Sebastian - 2014 - This version: November 2014
account impacts from oil price return and oil price volatility on forecast changes. The panel smooth transition regression …
Persistent link: https://www.econbiz.de/10010438928
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Estimating and forecasting trend output and modelling labor input : application of panel techniques and factor models
Kappler, Marcus (contributor) - 2007
Persistent link: https://www.econbiz.de/10003634287
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Modellierung von mehrjährigen Kreditausfallrisiken
Jobst, Rainer - 2008
Persistent link: https://www.econbiz.de/10003635736
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Estimating and forecasting large panels of volatilities with approximate dynamic factor models
Luciani, Matteo; Veredas, David - In: Journal of forecasting 34 (2015) 3, pp. 163-176
Persistent link: https://www.econbiz.de/10011305278
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Common cycles in volatility and cross section of stock returns
Barunik, Jozef; Kraicova, Lucie - 2017
a portfolio of financial assets. We argue that the combination of quantile panel regression and wavelet decomposition of …
Persistent link: https://www.econbiz.de/10011722181
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Essays on heterogeneity and non-linearity in panel data and time series models
Salish, Nazarii - 2016
Persistent link: https://www.econbiz.de/10011591912
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Model uncertainty, nonlinearities and out-of-sample comparison : evidence from international technology diffusion
Gioldasis, Georgios; Musolesi, Antonio; Simioni, Michel - 2020
Persistent link: https://www.econbiz.de/10012317622
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Observation-driven hierarchical density models for missing data imputation
Khanna, Yonas; Lucas, André - 2025
We propose an observation-driven dynamic common factor model for missing value imputation in high-dimensional panel …
Persistent link: https://www.econbiz.de/10015373862