Narrow search
Showing 1 - 10 of 21,023
Cover Image
Local adaptive multiplicative error models for high-frequency forecasts
Härdle, Wolfgang; Hautsch, Nikolaus; Mihoci, Andrija - 2012
We propose a local adaptive multiplicative error model (MEM) accommodating timevarying parameters. MEM parameters are adaptively estimated based on a sequential testing procedure. A data-driven optimal length of local windows is selected, yielding adaptive forecasts at each point in time....
Persistent link: https://www.econbiz.de/10009526607
Cover Image
Value at risk forecasts by extreme value models in a conditional duration framework
Herrera, Rodrigo; Schipp, Bernhard - In: Journal of empirical finance 23 (2013), pp. 33-47
Persistent link: https://www.econbiz.de/10010221789
Cover Image
Machine learning algorithms for predicting unemployment duration in Russia
Maigur, Anna A. - In: Russian journal of economics 10 (2024) 4, pp. 365-384
Predictions of the individual unemployment duration will allow to distribute target support while searching for a job … more effectively. The paper uses survival models to predict the unemployment duration based on data from Russian employment … well as the job search duration. Two models' forecasts are investigated: the proportional and the non-proportional hazards …
Persistent link: https://www.econbiz.de/10015396287
Cover Image
Multivariate variance ratio statistics
Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - 2014
We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and scalar functions thereof under the null hypothesis that returns are unpredictable after a constant mean adjustment (i.e., under the Efficient Market Hypothesis). We do not...
Persistent link: https://www.econbiz.de/10010365211
Cover Image
An investigation into multivariate variance ratio statistics and their application to stock market predictability
Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - 2015
We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and scalar functions thereof under the null hypothesis that returns are unpredictable after a constant mean adjustment (i.e., under the weak form Efficient Market Hypothesis). We do...
Persistent link: https://www.econbiz.de/10010496122
Cover Image
An Investigation into Multivariate Variance Ratio Statistics and Their Application to Stock Market Predictability
Hong, Seok Young - 2016
We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and scalar functions thereof under the null hypothesis that returns are unpredictable after a constant mean adjustment (i.e., under the weak form Efficient Market Hypothesis). We do...
Persistent link: https://www.econbiz.de/10013006601
Cover Image
High-frequency realized stochastic volatility model
Watanabe, Toshiaki; Nakajima, Jouchi - In: Journal of empirical finance 79 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10015179722
Cover Image
Bayesian inference for a periodic stochastic volatility model of intraday electricity prices
Smith, Michael Stanley - In: Statistical modelling and regression structures : …, (pp. 353-376). 2010
Persistent link: https://www.econbiz.de/10003964500
Cover Image
A Bayesian inventory model using real-time condition monitoring information
Li, Rong; Ryan, Jennifer K. - In: Production and operations management : an international … 20 (2011) 5, pp. 754-771
Persistent link: https://www.econbiz.de/10009315464
Cover Image
Nonlife ratemaking and risk management with Bayesian additive models for location, scale and shape
Klein, Nadja; Denuit, Michel; Lang, Stefan; Kneib, Thomas - 2013
Generalized additive models for location, scale and shape define a flexible, semi-parametric class of regression models for analyzing insurance data in which the exponential family assumption for the response is relaxed. This approach allows the actuary to include risk factors not only in the...
Persistent link: https://www.econbiz.de/10010190248