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An entropy divergence, D-distribution and its selected application in multivariate financial time series

Jayakumar, G. S. David Sam; Sulthan, A.; Samuel, W. - In: International journal of financial services management … 11 (2021) 2, pp. 134-148

Persistent link: https://www.econbiz.de/10012940016

Moments, shocks and spillovers in Markov-switching VAR models

Kole, Erik; Dijk, Dick van - In: Journal of econometrics 236 (2023) 2, pp. 1-26

Persistent link: https://www.econbiz.de/10014365495

Neumann series on the recursive moments of copula-dependent aggregate discounted claims

Ramli, Siti Norafidah Mohd; Jang, Jiwook - In: Risks : open access journal 2 (2014) 2, pp. 195-210

We study the recursive moments of aggregate discounted claims, where the dependence between the inter-claim time and … of successive approximation to derive the Neumann series of the recursive moments. We then compute the first two moments …

Persistent link: https://www.econbiz.de/10010399755

Drawdown measures and return moments

Möller, Philipp M. - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-42

Persistent link: https://www.econbiz.de/10011957033

Moments, shocks and spillovers in Markov switching VAR models

Dijk, Dick van; Kole, Erik - 2021

these analyses. We first derive first and second moments conditional on only a set of regime probabilities. Next, we propose … generalized impulse response functions of first and second moments to shocks originating from the regime process, the structural …

Persistent link: https://www.econbiz.de/10012621564

Approximate method of estimation of exponential trend parameters for forecasting process purposes

Bednarz-Okrzyńska, Kamila - In: Folia oeconomica Stetinensia : FOS 18 (2018) 1, pp. 169-181

Persistent link: https://www.econbiz.de/10011930983

Sequential Monte Carlo for fractional stochastic volatility models

Chronopoulou, Alexandra; Spiliopoulos, Konstantinos - In: Quantitative finance 18 (2018) 3, pp. 507-517

Persistent link: https://www.econbiz.de/10011906404

Bayesian estimation and unit root test for logistic smooth transition autoregressive process

Chaturvedi, Anoop; Jaiswal, Shivam - In: Journal of quantitative economics 18 (2020) 4, pp. 733-745

Persistent link: https://www.econbiz.de/10012418877

Parameter learning and change detection using a particle filter with accelerated adaptation

Gellert, Karol; Schlögl, Erik - In: Risks : open access journal 9 (2021) 12, pp. 1-18

This paper presents the construction of a particle filter, which incorporates elements inspired by genetic algorithms, in order to achieve accelerated adaptation of the estimated posterior distribution to changes in model parameters. Specifically, the filter is designed for the situation where...

Persistent link: https://www.econbiz.de/10012794245

Shrinkage estimator for exponential smoothing models

Pritularga, Kandrika F.; Svetunkov, Ivan; Kourentzes, … - In: International journal of forecasting 39 (2023) 3, pp. 1351-1365

Persistent link: https://www.econbiz.de/10014465285