Search Results - subject_exact:"Fourier transform"

Bossu, Sébastien; Crépey, Stéphane; Nguyen, Hoang-Dung - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015460604

Econometric and python-based forecasting tools for global market price prediction in the context of economic security

Zherlitsyn, Dmytro; Kravchenko, Volodymyr; Mints, Oleksiy; … - 2025

Debate persists over whether classical econometric or modern machine learning (ML) approaches provide superior forecasts for volatile monthly price series. Despite extensive research, no systematic cross-domain comparison exists to guide model selection across diverse asset types. In this study,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015562173

A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets

Benth, Fred Espen; Sgarra, Carlo - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015130552

Value-at-risk under measurement error

Doukali, Mohamed; Song, Xiaojun; Taamouti, Abderrahim - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014543504

Consistent nonparametric test for structural change in time series models via Cusum and Fourier transform

Liu, Weiqiang; Li, Junfeng - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016075794

Forecast combination in the frequency domain

Faria, Gonçalo; Verona, Fabio - 2023

Predictability is time and frequency dependent. We propose a new forecasting method - forecast combination in the frequency domain - that takes this fact into account. With this method we forecast the equity premium and real GDP growth rate. Combining forecasts in the frequency domain produces...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013485890

Efficient evaluation of expectations of functions of a Lévy process and its extremum

Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015394806

Evaluation of optimal selling and buying boundaries in optimal investment with transaction costs

Yang, Wensheng - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015526420

Time Series Econometrics

Neusser, Klaus - 2025 - 2nd ed. 2025.

Introduction -- ARMA models -- Forecasting stationary processes -- Estimation of Mean and Autocovariance Function -- Estimation of ARMA Models -- Spectral Analysis and Linear Filters -- Integrated Processes -- Models of Volatility -- Multivariate Time series -- Estimation of Covariance Function...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015406991

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Time series econometrics

Neusser, Klaus - 2016

Book / Working Paper

Time Series Econometrics

Neusser, Klaus - 2016

Book / Working Paper

Convolutional regression for big spatial data

Matsuda, Yasumasa; Yuan, Xin - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013445687

Financial cycles in euro area economies : a cross-country perspective using wavelet analysis

Mandler, Martin; Scharnagl, Michael - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013348442

Fourier transform based LSTM stock prediction model under oil shocks

Ren, Xiaohang; Xu, Weixia; Duan, Kun - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013498994

Unified factor model estimation and inference under short and long memory

Ke, Shuyao; Phillips, Peter C. B.; Su, Liangjun - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013464260

Testing conditional moment restriction models using empirical likelihood

Berger, Yves G. - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013253841

Detecting edgeworth cycles

Holt, Timothy; Igami, Mitsuru; Scheidegger, Simon - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014633698

Robust inference of panel data models with interactive fixed effects under long memory : a frequency domain approach

Ke, Shuyao; Phillips, Peter C. B.; Su, Liangjun - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015075187

Pricing fade-in options under garch-jump processes

Wang, Xingchun; Zhang, Han - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015144032

Efficient evaluation of double-barrier options

Bojarčenko, Svetlana I.; Leverdorskií, Sergei - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015558755

Wavelet decomposition of the financial cycle : an early warning system for financial tsunamis

Voutilainen, Ville - 2017

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011706519

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Wavelet Decomposition of the Financial Cycle : An Early Warning System for Financial Tsunamis

Voutilainen, Ville - 2021

Book / Working Paper

Misallocation or mismeasurement? : evidence from plant-level data

Dong, Baiyu; Hsieh, Yu-Wei - 2021

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013464831

Financial cycles : how long and how certain?

Gonzalez, Rodrigo Barbone; Marinho, Leonardo Sousa Gomes; … - 2021

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014253206

Inference of jumps using wavelet variance

Chen, Heng; Shintani, Mototsugu - 2021

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012813628

House price and economic activity in India : a Wavelet analysis

Pal, Swarup Kumar; Saha, Anjana; Ray, Partha - 2021

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012542572

Pricing of commodity derivatives on processes with memory

Benth, Fred Espen; Khedher, Asma; Vanmaele, Michèle - 2020

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013200543

Medidas de núcleo de inflação para o Brasil baseadas no método wavelets?

Silva, Nelson da - 2020

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012404319

Improving early warning system indicators for crisis manifestations in the Russian economy

Semin, Alexander; Vasiljeva, Marina; Sokolov, Alexander; … - 2020

The study is aimed at determining the oscillators of crisis manifestations when the Russian economy tries to make transition to the path for accelerating technological development and forming an innovative economy. Short-term cycles were determined in the development of the Russian economy from...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012414330

Pricing of commodity derivatives on processes with memory

Benth, Fred Espen; Khedher, Asma; Vanmaele, Michèle - 2020

Spot option prices, forwards and options on forwards relevant for the commodity markets are computed when the underlying process S is modelled as an exponential of a process xi with memory as, e.g., a Volterra equation driven by a Levy process. Moreover, the interest rate and a risk premium rho...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012204043

Jean-Baptiste Fourier at the Moscow Conjuncture Institute : harmonic analysis of business cycles

Franco, Marco Paulo Vianna; Ribeiro, Leonardo Costa; … - 2020

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012209376

An Analysis of Lead-Lag Relationship between Stock Returns Using Spectral Methods

Bhandari, Avishek - 2020

This paper examines the relationship between BSE Sensex and three other developed markets in the frequency domain. Cross-spectral methods, which are important in discovering and interpreting the relationships between economic variables, are used to analyze the relationships between different...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012855987

Modern Cryptography Volume 2 : A Classical Introduction to Informational and Mathematical Principle

Zheng, Zhiyong; Tian, Kun; Liu, Fengxia - 2023

Chapter 1. Gauss lattice theory -- Chapter 2. Reduction principle of Ajtai -- Chapter 3. Learning with errors -- Chapter 4. LWE cryptosystem -- Chapter 5. Cyclic lattice and Ideal lattice -- Chapter 6. Fully Homomorphic Encryption -- Chapter 7. General NTRU cryptosystem.

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013504665

Money growth and inflation : international historical evidence on high inflation episodes for developed countries

Gallegati, Marco; Giri, Federico; Fratianni, Michele - 2019

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011965460

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Money Growth and Inflation : International Historical Evidence on High Inflation Episodes for Developed Countries

Gallegati, Marco - 2019

Book / Working Paper

Q, investment, and the financial cycle

Verona, Fabio - 2017

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011721190

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Q, Investment, and the Financial Cycle

Verona, Fabio - 2019

Book / Working Paper

Tracking financial cycles in ten transitional economies 2005-2018 using singular spectrum analysis (SSA) techniques

Škare, Marinko; Porada-Rochoń, Małgorzata - 2019

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012232027

Phillips' averaging procedure as a "crude'´" version of the Haar wavelet filter

Gallegati, Marco; Ramsey, James B. - 2019

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012027486

Financial cycles as early warning indicators : lessons from the Nordic region

Önundur Páll Ragnarsson; Hannesson, Jón Magnús; … - 2019

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011992493

Singular spectrum analysis for real-time financial cycles measurement

Coussin, Maximilien - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013417341

Beyond random causes : harmonic analysis of business cycles at the Moscow Conjuncture Institute

Franco, Marco Paulo Vianna; Ribeiro, Leonardo Costa; … - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013367219

Wavelet power spectrum analysis of ETF's tracking error

Nieves-González, Aniel; Rodríguez, Javier; Vega … - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013370525

The oil price-macroeconomic fundamentals nexus for emerging market economies : evidence from a wavelet analysis

Tiwari, Aviral Kumar; Raheem, Ibrahim D.; Bozoklu, Seref; … - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012815114

Filters, waves and spectra

Pollock, David Stephen G. - 2018

Econometric analysis requires filtering techniques that are adapted to cater to data sequences that are short and that have strong trends. Whereas the economists have tended to conduct their analyses in the time domain, the engineers have emphasised the frequency domain. This paper places its...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011887657

Financial cycles in euro area economies : a cross-country perspective

Kunovac, Davor; Mandler, Martin; Scharnagl, Michael - 2018

We study the cross-country dimension of financial cycles for six euro area countries using three different methodologies: principal component analysis, synchronicity and similarity measures and wavelet analysis. We find that equity prices and interest rates display synchronization across...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011809188

Game theoretic interaction and decision: A quantum analysis

Faigle, Ulrich; Grabisch, Michel - 2017

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011852714

Modelling a small open economy using a wavelet-based control model

Hudgins, David; Crowley, Patrick M. - 2017

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011750757

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Modelling a Small Open Economy Using a Wavelet-Based Control Model

Hudgins, David - 2017

Book / Working Paper

Testing the Q theory of investment in the frequency domain

Kilponen, Juha; Verona, Fabio - 2017

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011716307

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Testing the Q theory of investment in the frequency domain

Kilponen, Juha; Verona, Fabio - 2016

Book / Working Paper

Testing the Q Theory of Investment in the Frequency Domain

Kilponen, Juha - 2017

Book / Working Paper

Forecasting stock market returns by summing the frequency-decomposed parts

Faria, Gonçalo; Verona, Fabio - 2018

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012102423

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Forecasting stock market returns by summing the frequency-decomposed parts

Faria, Gonçalo; Verona, Fabio - 2017

Book / Working Paper

Forecasting stock market returns by summing the frequency-decomposed parts

Faria, Gonçalo; Verona, Fabio - 2016

Book / Working Paper

Forecasting Stock Market Returns by Summing the Frequency-Decomposed Parts

Faria, Gonçalo - 2017

Book / Working Paper

Time-frequency characterization of the U.S. financial cycle

Verona, Fabio - 2016

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011617210

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Time-frequency characterization of the U.S. financial cycle

Verona, Fabio - 2016

Book / Working Paper

Time-Frequency Characterization of the U.S. Financial Cycle

Verona, Fabio - 2017

Book / Working Paper

Assessing the cross-country interaction of financial cycles : evidence from a multivariate spectral analysis of the US and the UK

Strohsal, Till; Proano, Christian; Wolters, Jürgen - 2017

In recent times, a large number of studies has investigated the empirical properties of financial cycles within countries, mainly based on band-pass filter techniques. The contribution of this paper to the literature is twofold. First, in contrast to most existing studies in the financial cycle...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011710009

Game theoretic interaction and decision : a quantum analysis

Faigle, Ulrich; Grabisch, Michel - 2017

An interaction system has a finite set of agents that interact pairwise, depending on the current state of the system. Symmetric decomposition of the matrix of interaction coefficients yields the representation of states by self-adjoint matrices and hence a spectral representation. As a result,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011771247