Search Results - subject_exact:"Autocovariance"

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Initial-condition-robust inference in autoregressive models

Andrews, Donald W. K.; Li, Ming; Zheng, Yapeng - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015618889

Forecasting UK consumer price inflation with RaGNAR : random generalised network autoregressive processes

Nason, Guy P.; Palasciano, Henry Antonio - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668062

Threshold effects of CO₂ on sea-ice volume : empirical evidence with data from global circulation models of the Arctic and Antarctic

Escribano, Álvaro; Rodríguez, Juan-Andrés - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015664985

Nonparametric autoregressive copula forecasting via boundary-reflected kernel estimation

Soares, Guilherme Colombo; Laurini, Márcio Poletti - 2026

We propose a fully nonparametric empirical autoregressive copula framework for univariate time series, designed to capture nonlinear and asymmetric serial dependence while exactly preserving the empirical marginal distribution. The method decouples marginal behavior from temporal dependence by...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016059399

Unintended policy effects in rural development : a PNAR analysis of network spillovers in Northern Spain

Alonso-Cienfuegos, Oscar Luis; Otero-Sanchez, Ana Isabel - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015652654

Turnover tales : investigating investor biases through the return-volume dynamics in the Indian stock market

Paul, Mirabel Josephine; Rajendran, Madhumathi - 2026

This study investigates overconfidence and disposition effect biases in the Indian stock market using return−volume relationships as a proxy. Employing vector autoregression and a modified quantile autoregressive model with asymmetric distributed lags, the study examines how behavioural biases...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016081379

Spatial autocorrelation of political opinions : a kernel approach

Loup, Romain; Bavaud, François - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016082180

An empirical evaluation of some long-horizon macroeconomic forecasts

Lunsford, Kurt G.; West, Kenneth D. - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016091534

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An Empirical Evaluation of Some Long-Horizon Macroeconomic Forecasts

Lunsford, Kurt G.; West, Kenneth D. - 2026

Book / Working Paper

An IID test for functional time series with applications to high-frequency VIX index data

Huang, Xin; Shang, Han Lin; Siu, Tak Kuen - 2025

To address a key issue in functional time series analysis on testing the randomness of an observed series, we propose an IID test for functional time series by generalizing the Brock-Dechert-Scheinkman (BDS) test, which is commonly used for testing nonlinear independence. Similarly to the BDS...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015333723

Forecasting volatility spillovers across Chinese financial industries : an out-of-sample framework using a novel matrix autoregressive model

Liu, Chengcheng; Fang, Tong - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015636670

Generalised spatial autocorrelation coefficients

Wywiał, Janusz - 2025

The article focuses on properties generalised to the multidimensional case of known coefficients of spatial correlation. The main result of the work is the decomposition of the introduced generalised autocorrelation coefficients into the sum of ordinary autocorrelation coefficients, but...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015338287

Bayesian estimation of a multivariate TAR model when the noise process distribution belongs to the class of Gaussian variance mixtures

Vanegas, L. H.; Calderón V, S. A.; Rondón, L. M. - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668168

GMM inference in the matrix exponential spatial specification

Yang, Ye; Vijverberg, Wim P. M. - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016091456

Maximum trimmed likelihood estimation for discrete multivariate Vasicek processes

Fullerton, Thomas M.; Pokojovy, Michael; Anum, Andrews T.; … - 2025

The multivariate Vasicek model is commonly used to capture mean-reverting dynamics typical for short rates, asset price stochastic log-volatilities, etc. Reparametrizing the discretized problem as a VAR(1) model, the parameters are oftentimes estimated using the multivariate least squares (MLS)...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015338665

Bayesian analysis for functional coefficient conditional autoregressive range model with applications

Wang, Bin; Qian, Yixin; Yu, Enping - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015193856

Reduced rank multivariate spatial autoregressive model for large-scale networks

Pu, Dan; Ma, Yingying; Huang, Danyang; Lan, Wei - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016091593

Copula tensor count autoregressions for modeling multidimensional integer-valued time series

Armillotta, Mirko; Gorgi, Paolo; Lucas, André - 2025

This paper presents a novel copula-based autoregressive framework for multilayer arrays of integer-valued time series with tensor structure. It complements recent advances in tensor time series that predominantly focus on real-valued data and overlook the unique properties of integer-valued time...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015195717

A convolution-based heterogeneous autoregressive model for implied volatility surface forecasting

Gong, Zihao; Huang, Wenli; Ruan, Xinfeng - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016093866

Mixture matrix-valued autoregressive model

Wu, Fei; Chan, Kung-sik - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016091587

Testing for spatial autocorrelation in Stata

Kondo, Keisuke - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015418833

Matrix-valued spatial autoregressions with dynamic and robust heterogeneous spillovers

Lin, Yicong; Lucas, André; Ye, Shiqi - 2025

We introduce a new time-varying parameter spatial matrix autoregressive model that integrates matrix-valued time series, heterogeneous spillover effects, outlier robustness, and time-varying parameters in one unified framework. The model allows for separate dynamic spatial spillover effects...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015423404

Threshold spatial panel regression with fixed effects

Meng, Xiaoyu; Yang, Zhenlin - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016091894

Edgeworth expansions in curved cross section autoregression

Phillips, Peter C. B. - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015467029

High-dimensional weighted K-means with serial dependence

Zhang, Zhonghui; Kao, Chihwa; Hwang, Jungbin - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015474059

How do macroaggregates and income distribution interact dynamically? : a novel structural mixed autoregression with aggregate and functional variables

Chang, Yoosoon; Kim, So-yŏng; Park, Joon Y. - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015410418

Earnings extrapolation and predictable stock market returns

Guo, Hongye - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015458794

Inference in a stationary/nonstationary autoregressive time-varying-parameter model

Andrews, Donald W. K.; Li, Ming - 2025

This paper considers nonparametric estimation and inference in first-order autoregressive (AR(1)) models with deterministically time-varying parameters. A key feature of the proposed approach is to allow for time-varying stationarity in some time periods, time-varying nonstationarity (i.e., unit...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015460575

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Inference in a stationary/nonstationary autoregressive time-varying-parameter model

Andrews, Donald W. K.; Li, Ming - 2024

Book / Working Paper

Are intraday returns autocorrelated?

Li, Yufei; Giraitis, Luidas; Sucarrat, Genaro - 2025

The presence of autocorrelated financial returns has major implications for investment decisions. Unsurprisingly, therefore, numerous studies have sought to shed light on whether returns are autocorrelated or not, to what extent, and when. Standard tests for autocorrelation rely on the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015441089

Testing for equal predictive accuracy with strong dependence

Coroneo, Laura; Iacone, Fabrizio - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015441527

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Testing for equal predictive accuracy with strong dependence

Coroneo, Laura; Iacone, Fabrizio - 2021

Book / Working Paper

HAR inference for quantile regression in time series

Hwang, Jungbin; Valdés, Gonzalo - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015445619

Spatiotemporal patterns and prediction of multi-region house prices via functional mixed effects model

Chen, Yilin; Zheng, Haitao - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015445808

A fractional integration model with autoregressive processes

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2025

This note puts forward a new modelling approach that includes both fractional integration and autoregressive processes in a unified framework. The proposed model is very general and includes other more standard approaches such as the AR(F)IMA models. Some Monte Carlo evidence shows that the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015426971

Spatial autocorrelation of the gender pay gap indicator across the macroregions of the European Union

Matuszewska-Janica, Aleksandra - 2025

Research background: The unadjusted gender pay gap (GPG) is one of the indicators that measure progress towards SDG5. There is considerable variability in the values of this indicator among the individual countries and regions of the EU. However, due to the effects resulting from the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015492619

Threshold effects of CO₂ on sea-ice volume : empirical evidence with data from global circulation models of the Arctic and Antarctic

Álvaro, Escribano; Rodríguez, Juan-Andrés - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015553385

An efficient residual-adjusted two-step estimator for a SARAR model

Lee, Lung-fei; Lin, Yanli; Yang, Yang - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015554873

Spectral estimation for mixed causal-noncausal autoregressive models

Hecq, Alain W. J.; Velásquez-Gaviria, Daniel - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015554875

Shrinkage estimators for periodic autoregressions

Paap, Richard; Franses, Philip Hans - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015556001

Is U.S. real output growth non-normal? : a tale of time-varying location and scale

Demetrescu, Matei; Kruse-Becher, Robinson - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015556434

Constant volatility estimation by classical and bayesian methods in a financial market : an application to Bancolombia's preferential prices

Cortés-García, Christian; Cangrejo-Esquivel, Alvaro - 2025

In this paper we propose methods, from a classical and Bayesian approach, to estimate the constant volatility of an asset when it is not appropriate to fit heteroscedastic or stochastic volatility models relative to the sample series of the asset where no large increase in volatility is...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015625862

Addressing endogeneity issues in a spatial autoregressive model using copulas

Lin, Yanli; Song, Yichun - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016090911

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Addressing endogeneity issues in a spatial autoregressive model using copulas

Lin, Yanli; Song, Yichun - 2025

Book / Working Paper

Time-varying generalized network autoregressions

Wu, Boyao; Gao, Jiti; Yu, Deshui - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015650608

Uniform inference with general autoregressive processes

Magdalinos, Tassos; Petrova, Petrova - 2025

A unified theory of estimation and inference is developed for an autoregressive process with root in (-∞, ∞) that includes the stationary, local-to-unity, explosive and all intermediate regions. The discontinuity of the limit distribution of the t-statistic outside the stationary region and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015396070

The asymmetric impacts of remittances on innovation in middle-income economies : a nonlinear autoregressive distributed lag approach

Islam, Md Zahidul; Hossain, Md Shamim; Amin, Mohammad Bin; … - 2025

Innovation is essential for promoting long-term growth in middle-income countries (MICs). Amid growing remittance inflows, understanding how these financial transfers influence innovation outcomes has become increasingly important; however, the prevailing literature overlooks the impact of...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015533514