Search Results - subject_exact:"Multidimensional scaling"

Adaptive LASSO-MGARCH for multivariate volatility forecasting

Xu, Yongdeng; Lyu, Juyi; Lu, Wenna - 2026

This paper evaluates an Adaptive LASSO-MGARCH model for multivariate volatility forecasting, with an application to green and conventional bonds, equities, energy commodities, and EU carbon allowances. By introducing coefficient-specific adaptive penalisation directly into the multivariate GARCH...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614300

Multivariate economic tail risk and scenario analysis using the survey of professional forecasters

Schick, Manuel; Opschoor, Anne - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638609

Estimation of high-dimensional volatility matrices with dynamic conditional correlation-embedded mixed factor structures

Dai, Runyu; Matsuda, Yasumasa - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015641735

Optimal forecast reconciliation for quantiles

Ho-Nguyen, Nam; Alipour, Hossein; Panagiotelis, Anastasios - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015650675

Density-valued VAR models with latent factors

Matsuda, Yasumasa; Haddad, Michel Ferreira Cardia - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015636230

Multivariate Affine GARCH in portfolio optimization : analytical solutions and applications

Escobar, Marcos; Yang, Yu-Jung; Zagst, Rudi - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015374358

Data depth for mixed-type data through MDS : an application to biological age imputation

Cascos, Ignacio; Grané, Aurea; Qian, Jingye - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015330315

On the correlations in linearized multivariate stochastic volatility models

Moussa, Karim - 2025

In the analysis of multivariate stochastic volatility models, many estimation procedures begin by transforming the data, taking the logarithm of the squared returns to obtain a linear state space model. A well-known series representation links the correlations between elements of the observation...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015333113

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015195717

A novel multivariate composite estimator for the Labour Force Survey

Hungnes, Håvard - 2025

This paper introduces a novel multivariate composite estimator for the Labour Force Survey (LFS). Unlike the univariate composite estimators used in some countries, the multivariate estimator takes into account the different probabilities of transitioning between labour market categories, such...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015393650

Revisiting EWMA in high-frequency portfolio optimization : a comparative assessment

Capera Romero, Laura; Opschoor, Anne - 2025

This paper compares the statistical and economic performance of state-of-the-art highfrequency based multivariate volatility models with a simpler, widely used alternative-the Exponentially Weighted Moving Average (EWMA) filter. Using over two decades of 100 U.S. stock returns (2002-2023), we...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015419907

An empirical analysis of volatility spillovers in SAARC stock markets using multivariate garch models

Vairasigamani, P.; Amilan S; Vadivel, A.; Patel, Versha - 2025

Examining the persistence of volatility transmission over an extended timeframe, regardless of specific events, reveals significant importance, as it uncovers the inherent fundamental and structural drivers that give rise to volatility. However, previous research in South Asia is minimal and has...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464152

Extended multivariate EGARCH model : a model for zero-return and negative spillovers

Xu, Yongdeng - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464638

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Extended multivariate EGARCH model : a model for zero-return and negative spillovers

Xu, Yongdeng - 2024

Book / Working Paper

Extended Multivariate Egarch Model : A Model for Zero-Return and Negative Spillovers

Xu, Yongdeng - 2023

Book / Working Paper

Shock propagation in LSTM multivariate time series systems

Chan-Lau, Jorge A.; Quach, Toan Long - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015448581

Portfolio margining using PCA latent factors

Du, Shengwu; Nesmith, Travis D. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015406665

A nonparametric conditional copula-based imputation method

Di Lascio, F. Marta L.; Gatto, Aurora - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015437084

Classification of Latin American and Caribbean countries based on multidimensional development indicators : a multivariate empirical analysis

Mendoza-Mendoza, Adel; Visbal-Cadavid, Delimiro; … - 2025

This study develops a multidimensional classification of Latin American and Caribbean countries based on a multidimensional set of economic, social, technological, and environmental indicators. This study develops a multidimensional assessment of the performance of Latin American and Caribbean...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015439162

The time-varying Multivariate Autoregressive Index model

Cubadda, Gianluca; Grassi, Stefano; Guardabascio, Barbara - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015440289

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The time-varying multivariate autoregressive index model

Cubadda, Gianluca; Grassi, Stefano; Guardabascio, Barbara - 2024

Book / Working Paper

Clustering and measuring consumption emotions : scale development through text mining and a questionnaire survey

Han, Dahye - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015456518

Multivariate dynamic mixed-frequency density pooling for financial forecasting

Virbickaitė, Audronė; Lopes, Hedibert Freitas; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015441556

Multivariate two-sample permutation test with directional alternative for categorical data

Bonnini, Stefano; Borghesi, Michela - 2025

This paper presents a distribution-free test, based on the permutation approach, on treatment effects with a multivariate categorical response variable. The motivating example is a typical case-control biomedical study, performed to investigate the effect of the treatment called "assisted motor...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015506715

On a new goodness-of-fit test for multivariate normality with fixed parameters based on the David-Hellwig test idea

Kończak, Grzegorz - 2025

The article presents a proposal for a goodness-of-fit test for multivariate normality. The idea of the test is based on the empty cells test, which is well known in the literature. In the empty cells test, the area of the random variable's variability is divided into m disjoint cells. Assuming...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015596304

Multivariate zero-inflated INAR(1) model with an application in automobile insurance

Zhang, Pengcheng; Chen, Zezhun; Tzougas, George; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015552596

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Multivariate Zero-Inflated Inar(1) Model with an Application in Automobile Insurance

Zhang, Pengcheng; Chen, Zezhun; Tzougas, George; Wu, Xueyuan - 2022

Book / Working Paper

Decomposing the output gap : robust univariate and multivariate Hodrick-Prescott filtering with extreme observations

Hungnes, Håvard - 2025

This paper introduces two methodological improvements to the Hodrick- Prescott (HP) filter for decomposing GDP into trend and cycle components. First, we propose a robust univariate filter that accounts for extreme observations - such as the COVID-19 pandemic - by treating them as additive...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015557748

Multivariate range-based EGARCH models

Yan, Lili; Kellard, Neil M.; Lambercy, Lyudmyla - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015605469

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Multivariate Range-Based Egarch Models

Yan, Lili; Kellard, Neil; Lambercy, Lyudmyla - 2022

Book / Working Paper

An oracle inequality for multivariate dynamic quantile forecasting

Llorens-Terrazas, Jordi - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015534306

Estimation of linear models from coarsened observations : a method of moments approach

Praag, Bernard M. S. van; Hop, J. Peter; Greene, William - 2025

In the last few decades, the study of ordinal data in which the variable of interest is not exactly observed but only known to be in a specific ordinal category has become important. In Psychometrics such variables are analysed under the heading of item response models (IRM). In Econometrics,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015183313

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Estimation of linear models from coarsened observations : a method of moments approach

Praag, Bernard M. S. van; Hop, J. Peter; Greene, William - 2024

Book / Working Paper

Identification of multivariate measurement error models

Hu, Yingyao - 2025

This paper develops new identification results for multidimensional continuous measurement-error models where all observed measurements are contaminated by potentially correlated errors and none provides an injective mapping of the latent distribution. Using third-order cross-moments, the paper...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015558915

Disentangling career change magnitude through expert analysis

Orie, Sieraadj; Peeters, Ellen R.; Semeijn, Judith H. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015403682

Revisiting precious metal mining stocks and precious metals as hedge, diversifiers and safe-havens : a multidimensional scaling and wavelet quantile correlation perspective

Parrey, Zubair Ahmad; Dar, Arif Billah; Paul, Manas - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015193828

Contributions to the design of regional tourism innovation policies: Evaluation of determinants in Latin America

Lopes, José Dias; Estêvão, João - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015461218

Comprehensive assessment of slovakian hospitals using financial and non-financial criteria in the COVID-19 context

Jenčová, Sylvia; Vašaničová, Petra; Miškufová, Marta - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015468921

A semi-structural credit gap for Malta : a multivariate filter approach

Gatt, William - 2024

This paper presents a credit gap for Malta derived from a semi-structural multivariate filter. This modelling approach has several advantages over univariate approaches typically used, for example to construct the Basel gap. The multivariate filtering of observed data into trends and cycles is...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014633582

Multivariate stochastic volatility modeling via integrated nested laplace approximations : a multifactor extension

Nacinben, João Pedro Coli de Souza Monteneri; Laurini, … - 2024

This study introduces a multivariate extension to the class of stochastic volatility models, employing integrated nested Laplace approximations (INLA) for estimation. Bayesian methods for estimating stochastic volatility models through Markov Chain Monte Carlo (MCMC) can become computationally...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014636390

Estimating time-varying potential output and NAIRU using a multivariate filter for Türkiye

Gökcü, Mert - 2024

This paper extends the multivariate filter approach for estimating potential output and NAIRU developed for Türkiye by integrating the capacity utilization block into the model. The model gives more negative estimates of the output gap and smaller estimates of NAIRU in recession periods...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014574478

The method of moments for multivariate random sums

Javed, Farrukh; Loperfido, Nicola; Mazur, Stepan - 2024

Multivariate random sums appear in many scientific fields, most notably in actuarial science, where they model both the number of claims and their sizes. Unfortunately, they pose severe inferential problems. For example, their density function is analytically intractable, in the general case,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014575595

Multidimensional screening after 37 years

Rochet, Jean-Charles - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015071983

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Multidimensional screening after 37 years

Rochet, Jean-Charles - 2024

Book / Working Paper

Optimal market-neutral multivariate pair trading on the cryptocurrency platform

Yang, Hongshen; Malik, Avinash - 2024

This research proposes a novel arbitrage approach in multivariate pair trading, termed the Optimal Trading Technique (OTT). We present a method for selectively forming a "bucket" of fiat currencies anchored to cryptocurrency for monitoring and exploiting trading opportunities simultaneously. To...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015101757

The multivariate fractional Ornstein-Uhlenbeck process

Dugo, Ranieri; Giorgio, Giacomo; Pigato, Paolo - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015084279

Time-varying multivariate causal processes

Gao, Jiti; Peng, Bin; Wu, Wei Biao; Yan, Yayi - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015075008

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Time-varying multivariate causal processes

Gao, Jiti; Peng, Bin; Wu, Wei Biao; Yan, Yayi - 2022

Book / Working Paper

Time-Varying Multivariate Causal Processes

Gao, Jiti; Peng, Bin; Wu, Wei Biao; Yan, Yayi - 2022

Book / Working Paper

High-dimensional forecasting with known knowns and known unknowns

Pesaran, M. Hashem; Smith, Ron - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015453694

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High-dimensional forecasting with known knowns and known unknowns

Pesaran, M. Hashem; Smith, Ron - 2024

Book / Working Paper

High-dimensional forecasting with known knowns and known unknowns

Pesaran, M. Hashem; Smith, Ron - 2024

Book / Working Paper

High-dimensional forecasting with known knowns and known unknowns

Pesaran, M. Hashem; Smith, Ron - 2024 - Revised 21 March 2024

Edition: Revised 21 March 2024

Book / Working Paper

L1 regularization for high-dimensional multivariate GARCH models

Yao, Sijie; Zou, Hui; Xing, Haipeng - 2024

The complexity of estimating multivariate GARCH models increases significantly with the increase in the number of asset series. To address this issue, we propose a general regularization framework for high-dimensional GARCH models with BEKK representations, and obtain a penalized quasi-maximum...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014497339

Relevance of dynamic variables in multicategory choice models

Hruschka, Harald - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014519162

Integrated modified OLS estimation and fixed-b inference for cointegrating multivariate polynomial regressions

Vogelsang, Timothy J.; Wagner, Martin - 2024

This paper shows that the integrated modified OLS (IM-OLS) estimator developed for cointegrating linear regressions in Vogelsang and Wagner (2014a) can be straightforwardly extended to cointegrating multivariate polynomial regressions. These are regression models that include as explanatory...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014519282

Detection and treatment of outliers for multivariate robust loss reserving

Avanzi, Benjamin; Lavender, Mark; Taylor, Greg; Wong, … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014519971

The impact of crowdsourcing and user-driven innovation on R&D departments' innovation activity : application of multivariate correspondence analysis

Szopik-Depczyńska, Katarzyna; Dembińska, Izabela; … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014520451

Deep learning for multivariate volatility forecasting in high-dimensional financial time series

Iwafuchi, Rei; Matsuda, Yasumasa - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014526627

Deriving multivariate probabilistic solar generation forecasts based on hourly imbalanced data

Pflugfelder, Yannik; Schinke-Nendza, Aiko; Dumas, Jonathan - 2024

Accurate forecasting of solar PV generation is critical for integrating renewable energy into power systems. This paper presents a multivariate probabilistic forecasting model that addresses the challenges posed by imbalanced data resulting from day and night-time periods in solar photovoltaic...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015135416

Dimensionality reduction analysis of the renewable energy sector in Azerbaijan : nonparametric analyses of large datasets

Niftiyev, Ibrahim - 2024

Although the number of econometric analyses related to the renewable energy sector in Azerbaijan is increasing, studies on nonparametric dimensionality reduction are rather sparse. Principal component analysis (PCA) and multiple correspondence analysis (MCA) were chosen to fill this apparent...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015125542

Evaluating density forecasts using weighted multivariate scores in a risk management context

Cheng, Jie - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015144255