Showing 1 - 10 of 43
Outliers are observations that deviate significantly from the norm, and their detection has been a critical topic in various research areas and application domains, such as video surveillance, network intrusion detection, and disease outbreak detection. In recent years, deep learning-based...
Persistent link: https://www.econbiz.de/10014362290
The topic of this paper is the estimation uncertainty of the Stock-Watson and Gonzalo-Granger permanent-transitory decompositions in the framework of the co-integrated vector autoregression. We suggest an approach to construct the confidence interval of the transitory component estimate in a...
Persistent link: https://www.econbiz.de/10010489880
Persistent link: https://www.econbiz.de/10012181279
While the actions of economists and politicians can be influenced by facts, statistics or empirical predictions, narratives are becoming an increasingly important factor for the decision making in the field of economics and politics. Evaluating such narratives not at selective points in time but...
Persistent link: https://www.econbiz.de/10013359182
Having forecast of real estate sales done correctly is very important for balancing supply and demand in the housing market. However, it is very difficult for housing companies or real estate professionals to determine how many houses they will sell next year. Although this does not mean that a...
Persistent link: https://www.econbiz.de/10012175928
Using Gretl, I apply ARMA, Vector ARMA, VAR, state-space model with a Kalman filter, transfer-function and intervention models, unit root tests, cointegration test, volatility models (ARCH, GARCH, ARCH-M, GARCH-M, Taylor-Schwert GARCH, GJR, TARCH, NARCH, APARCH, EGARCH) to analyze quarterly time...
Persistent link: https://www.econbiz.de/10012904559
We present the R package trajeR which provides all necessary tools to calibrate generalized finite mixture models, plot the results graphically and test the model adequacy.First, we give an overview of the generalized finite mixture model for clustering time series and describe the core function...
Persistent link: https://www.econbiz.de/10013202843
We propose two new jump-robust estimators of integrated variance based on highfrequency return observations. These MinRV and MedRV estimators provide an attractive alternative to the prevailing bipower and multipower variation measures. Specifically, the MedRV estimator has better theoretical...
Persistent link: https://www.econbiz.de/10014200896
We put forward two jump-robust estimators of integrated volatility, namely realized information variation (RIV) and realized information power variation (RIPV). The "information" here refers to the difference between two-grid of ranges in high-frequency intervals, which preserves continuous...
Persistent link: https://www.econbiz.de/10012986881
We introduce the Realized Exponential GARCH model that can utilize multiple realized volatility measures for the modeling of a return series. The model specifies the dynamic properties of both returns and realized measures, and is characterized by a flexible modeling of the dependence between...
Persistent link: https://www.econbiz.de/10012919210