EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Research Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject_exact:"Multivariate Analyse"
Narrow search

Narrow search

Year of publication
Subject
All
Multivariate Analyse 3,351 Multivariate analysis 2,920 Theorie 1,419 Theory 1,361 Zeitreihenanalyse 528 Time series analysis 508 Schätzung 428 Estimation 404 ARCH-Modell 372 Schätztheorie 366 Estimation theory 360 ARCH model 357 Volatilität 352 Volatility 338 Prognoseverfahren 302 Forecasting model 291 Statistische Verteilung 256 Statistical distribution 253 USA 243 United States 227 Deutschland 178 Portfolio-Management 173 Portfolio selection 169 Multivariate distribution 166 Multivariate Verteilung 165 Korrelation 160 Kapitaleinkommen 159 Capital income 157 Germany 157 Correlation 151 Stochastischer Prozess 144 Regressionsanalyse 142 Stochastic process 141 Regression analysis 127 Risikomaß 120 Börsenkurs 119 Risk measure 119 Statistische Methode 112 Share price 110 Statistical method 110
more ... less ...
Online availability
All
Free 1,146 Undetermined 443
Type of publication
All
Book / Working Paper 1,869 Article 1,490 Journal 1
Type of publication (narrower categories)
All
Article in journal 1,323 Aufsatz in Zeitschrift 1,323 Working Paper 783 Graue Literatur 732 Non-commercial literature 732 Arbeitspapier 690 Aufsatz im Buch 162 Book section 162 Hochschulschrift 156 Thesis 134 Lehrbuch 65 Textbook 54 Collection of articles of several authors 49 Sammelwerk 49 Konferenzschrift 35 Dissertation u.a. Prüfungsschriften 32 Conference proceedings 20 Collection of articles written by one author 17 Sammlung 17 Bibliografie enthalten 16 Bibliography included 16 Aufsatzsammlung 14 Einführung 9 Forschungsbericht 8 Conference paper 5 Konferenzbeitrag 5 Bibliografie 4 Case study 4 Fallstudie 4 Festschrift 4 Reprint 4 Amtsdruckschrift 3 Article 3 Bibliographie 3 Government document 3 Handbook 3 Handbuch 3 Mikroform 3 Fallstudiensammlung 2 Statistik 2
more ... less ...
Language
All
English 2,962 German 307 Undetermined 58 Polish 17 French 11 Italian 4 Spanish 4 Czech 2 Hungarian 2 Slovak 2 Portuguese 1 Romanian 1
more ... less ...
Author
All
Backhaus, Klaus 29 McAleer, Michael 26 Hafner, Christian M. 21 Rombouts, Jeroen V. K. 19 Schmid, Wolfgang 19 Härdle, Wolfgang 18 Greenacre, Michael J. 17 Croux, Christophe 16 Domański, Czesław 15 Erichson, Bernd 15 Kapetanios, George 15 Koopman, Siem Jan 15 Weiber, Rolf 15 Hallin, Marc 14 Weihs, Claus 14 Asai, Manabu 13 Caporale, Guglielmo Maria 13 Caporin, Massimiliano 13 Gil-Alaña, Luis A. 13 Herwartz, Helmut 13 Shephard, Neil G. 13 Marcellino, Massimiliano 12 Okhrin, Ostap 12 Teräsvirta, Timo 12 Brooks, Chris 11 Landsman, Zinoviy 11 Stentoft, Lars 11 Tarp, Finn 11 Carriero, Andrea 10 Lucas, André 10 Chen, Xiaohong 9 DeSarbo, Wayne 9 Furman, Edward 9 Ledoit, Olivier 9 Nolte, Ingmar 9 Pesaran, M. Hashem 9 Silvennoinen, Annastiina 9 Wolf, Michael 9 Billio, Monica 8 Claeskens, Gerda 8
more ... less ...
Institution
All
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 11 Econometrisch Instituut <Rotterdam> 6 Springer-Verlag GmbH 5 National Bureau of Economic Research 4 Sonderforschungsbereich Ökonomisches Risiko <Berlin> 4 Europäische Kommission / Gemeinsame Forschungsstelle 3 Institut für Schweizerisches Bankwesen <Zürich> 3 Universitat Pompeu Fabra / Departament d'Economia i Empresa 3 Aarhus Universitet / Afdeling for Nationaløkonomi 2 Akademia Ekonomiczna Imienia Oskara Langego we Wrocławiu 2 Center for Economic Research <Tilburg> 2 European University Institute / Department of Law 2 Institut für Arbeitsmarkt- und Berufsforschung (IAB) 2 Konjunkturforschungsstelle <Zürich> 2 Melbourne Institute of Applied Economic and Social Research 2 Springer Fachmedien Wiesbaden 2 University of Chicago / Graduate School of Business 2 AMACOM 1 Advanced Symposium on Multivariate Modeling and Data Analysis <1986, Harrisonburg, Va.> 1 Akademia Ekonomiczna <Krakau> / Katedra Statystyki 1 Akademia Ekonomiczna Imienia Karola Adamieckiego w Katowicach / Katedra Ekonomii 1 Akademia Ekonomiczna Imienia Oskara Langego we Wrocławiu / Katedra Ekonometrii i Informatyki 1 American Marketing Association 1 Books on Demand GmbH <Norderstedt> 1 Bundesanstalt für Arbeit 1 Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre 1 Colloquium on Modern Tools for Business Cycle Analysis <4, 2003, Luxembourg> 1 Conference Entitled Looking at Multivariate Data <1980, Sheffield> 1 Dalhousie University 1 Dalhousie University / Research Seminar 1 Department of Health, Education, and Welfare 1 Ekonomiska forskningsinstitutet <Stockholm> 1 Erasmus Research Institute of Management 1 Escola de Pós-Graduação em Economia <Rio de Janeiro> 1 European Institute for Advanced Studies in Management 1 Europäische Kommission / Statistisches Amt 1 Faculteit der Economische Wetenschappen en Bedrijfskunde, Vrije Universiteit 1 Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues - GEWISOLA 1 Gottfried Wilhelm Leibniz Universität Hannover 1 Gustav-Fischer-Verlag <Stuttgart> 1
more ... less ...
Published in...
All
Journal of econometrics 62 Insurance / Mathematics & economics 56 International journal of production research 31 Journal of the American Statistical Association : JASA 31 Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 28 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 27 Econometric reviews 24 Econometric Institute research papers 22 International journal of forecasting 22 SFB 649 discussion paper 22 Applied economics 20 Economics letters 20 European journal of operational research : EJOR 20 Discussion paper / Tinbergen Institute 18 Organizational research methods : ORM 18 SFB 649 Discussion Paper 18 Working papers / Universitat Pompeu Fabra, Department of Economics and Business 18 Acta Universitatis Lodziensis / Folia oeconomica 16 Journal of forecasting 16 ECARES working paper 13 Econometric theory 13 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 13 Energy economics 13 KBI 13 Discussion paper / Centre for Economic Policy Research 12 Economic modelling 12 Journal of applied econometrics 12 Journal of financial econometrics : official journal of the Society for Financial Econometrics 12 Risks : open access journal 12 Discussion paper / Center for Economic Research, Tilburg University 11 Discussion papers of interdisciplinary research project 373 11 Europäische Hochschulschriften / 5 11 Springer-Lehrbuch 11 CORE discussion papers : DP 10 Capital markets and finance in the enlarged Europe : the Postgraduate Research Programme working paper series 10 Discussion paper / Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München 10 Fundamentals of marketing research ; Vol. 6 10 Reihe Quantitative Ökonomie : Ökon 10 Technical Report 10 Working paper 10
more ... less ...
Source
All
ECONIS (ZBW) 3,018 USB Cologne (EcoSocSci) 220 EconStor 99 USB Cologne (business full texts) 16 RePEc 5 OLC EcoSci 2
Showing 1 - 50 of 3,360
Cover Image
Semiparametrically efficient tests of multivariate independence using center-outward quadrant, Spearman, and Kendall Statistics
Shi, Hongjian; Drton, Mathias; Hallin, Marc; Han, Fang - 2023
Persistent link: https://ebtypo.dmz1.zbw/10013550194
Saved in:
Cover Image
Empirical likelihood based testing for multivariate regular variation
Einmahl, John H. J.; Krajina, Andrea - 2023
Persistent link: https://ebtypo.dmz1.zbw/10013475286
Saved in:
Cover Image
Spatio-temporal dynamics of European innovation : an exploratory approach via multivariate functional data cluster analysis
Rhoden, Imke; Weller, Daniel; Voit, Ann-Katrin - In: Journal of open innovation : technology, market, and … 8 (2022) 1, pp. 1-23
We apply a functional data approach for mixture model-based multivariate innovation clustering to identify different regional innovation portfolios in Europe, considering patterns of specialization among innovation types. We combine patent registration data and other innovation and economic data...
Persistent link: https://ebtypo.dmz1.zbw/10012801507
Saved in:
Cover Image
Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2022 - This version: January 2022
Multivariate GARCH models do not perform well in large dimensions due to the so-called curse of dimensionality. The recent DCC-NL model of Engle et al. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this paper, we show how...
Persistent link: https://ebtypo.dmz1.zbw/10013040932
Saved in:
Cover Image
A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian; Jakobsen, Johan Stax; Silvennoinen, Annastiina - 2022
Persistent link: https://ebtypo.dmz1.zbw/10012816369
Saved in:
Cover Image
Bayesian estimation of multivariate panel probits with higher-order network interdependence and an application to firms' global market participation in Guangdong
Baltagi, Badi H.; Egger, Peter; Kesina, Michaela - 2022
This paper proposes a Bayesian estimation framework for panel-data sets with binary dependent variables where a large number of cross-sectional units is observed over a short period of time, and cross-sectional units are interdependent in more than a single network domain. The latter provides...
Persistent link: https://ebtypo.dmz1.zbw/10012817934
Saved in:
Cover Image
The decline in r* according to a robust multivariate trend-cycle decomposition
Morley, James C.; Trung Duc Tran; Wong, Benjamin - 2022
Persistent link: https://ebtypo.dmz1.zbw/10012878807
Saved in:
Cover Image
Analyzing joint brand purchases by conditional restricted Boltzmann machines
Hruschka, Harald - In: Review of managerial science : RMS 16 (2022) 4, pp. 1117-1145
Persistent link: https://ebtypo.dmz1.zbw/10013191697
Saved in:
Cover Image
Dimension reduction for high dimensional vector autoregressive models
Cubadda, Gianluca; Hecq, Alain W. J. - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013257768
Saved in:
Cover Image
A new multivariate zero-inflated hurdle model with applications in automobile insurance
Zhang, Pengcheng; Pitt, David C.; Wu, Xueyuan - In: ASTIN bulletin : the journal of the International … 52 (2022) 2, pp. 393-416
Persistent link: https://ebtypo.dmz1.zbw/10013270069
Saved in:
Cover Image
Structural relationships between cryptocurrency prices and monetary policy indicators
Castle, Jennifer; Kurita, Takamitsu - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013272018
Saved in:
Cover Image
Modally focused, likelihood based, inequality measurement in multivariate ordered categorical paradigms : a note
Anderson, Gordon - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013264588
Saved in:
Cover Image
A study on the OECD better life index using multivariate statistical analysis
Brzezińska, Justyna - In: Argumenta oeconomica 48 (2022) 1, pp. 235-245
Persistent link: https://ebtypo.dmz1.zbw/10013366094
Saved in:
Cover Image
Center-outward rank- and sign-based VARMA Portmanteau tests
Hallin, Marc; Liu, Hang - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013369883
Saved in:
Cover Image
Multivariate dynamic cash sub-additive risk measures for processes
Sun, Fei; Luo, Kui; Feng, Yu - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-13
Persistent link: https://ebtypo.dmz1.zbw/10013371188
Saved in:
Cover Image
Risk analysis of Australia's Victorian dairy farms using multivariate copulae
Godfrey, Sosheel Solomon; Ip, Ryan H. L.; Nordblom, … - In: Journal of agricultural and applied economics : JAEE 54 (2022) 1, pp. 72-92
Persistent link: https://ebtypo.dmz1.zbw/10013341784
Saved in:
Cover Image
Investigations on the discrimination ability of multivariate scoring rules
Stock, Maximilian - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013412643
Saved in:
Cover Image
Property analysis of multivariate conditional linear random processes in the problems of mathematical modelling of signals
Fryz, Mykhailo; Mlynko, Bogdana - In: Technology audit and production reserves 3 (2022) 2/65, pp. 29-32
Persistent link: https://ebtypo.dmz1.zbw/10013326596
Saved in:
Cover Image
Advances on permutation multivariate analysis of variance for big data
Bonnini, Stefano; Assegie, Getnet Melak - In: Statistics in transition : an international journal of … 23 (2022) 2, pp. 163-183
In many applications of the multivariate analyses of variance, the classic parametric solutions for testing hypotheses of equality in population means or multisample and multivariate location problems might not be suitable for various reasons. Multivariate multisample location problems lack a...
Persistent link: https://ebtypo.dmz1.zbw/10013419434
Saved in:
Cover Image
39th Conference Multivariate Statistical Analysis MSA 2021 : conference review
Małecka, Marta; Mikulec, Artur - In: Statistics in transition : an international journal of … 23 (2022) 2, pp. 211-214
Persistent link: https://ebtypo.dmz1.zbw/10013419441
Saved in:
Cover Image
A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian; Jakobsen, Johan Stax; Silvennoinen, Annastiina - In: Econometrics : open access journal 10 (2022) 3, pp. 1-41
We construct a parsimonious test of constancy of the correlation matrix in the multivariate conditional correlation GARCH model, where the GARCH equations are time-varying. The alternative to constancy is that the correlations change deterministically as a function of time. The alternative is a...
Persistent link: https://ebtypo.dmz1.zbw/10013459316
Saved in:
Cover Image
Multivariate tempered stable additive subordination for financial models
Semeraro, Patrizia - In: Mathematics and financial economics 16 (2022) 4, pp. 685-712
Persistent link: https://ebtypo.dmz1.zbw/10013438877
Saved in:
Cover Image
Markowitz portfolios under transaction costs
Ledoit, Olivier; Wolf, Michael - 2022
Markowitz portfolio selection is a cornerstone in finance, both in academia and in the industry. Most academic studies either ignore transaction costs or account for them in a way that is both unrealistic and suboptimal by (i) assuming transaction costs to be constant across stocks and (ii)...
Persistent link: https://ebtypo.dmz1.zbw/10013440073
Saved in:
Cover Image
A multivariate extension of the Lorenz curve based on copulas and a related multivariate Gini coefficient
Grothe, Oliver; Kächele, Fabian; Schmid, Friedrich - In: Journal of economic inequality 20 (2022) 3, pp. 727-748
Persistent link: https://ebtypo.dmz1.zbw/10013442158
Saved in:
Cover Image
Discovering stars : problems in recovering latent variables from models
Buncic, Daniel; Pagan, Adrian R. - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013478646
Saved in:
Cover Image
Ordinal health disparities between population subgroups : measurement and multivariate analysis with an application to the North-South divide in England
Allanson, Paul - In: Journal of economic inequality 20 (2022) 4, pp. 841-860
Persistent link: https://ebtypo.dmz1.zbw/10013483893
Saved in:
Cover Image
Forecasting multivariate volatilities with exogenous predictors : an application to industry diversification strategies
Luo, Jiawen; Ҫepni, Oğuzhan; Demirer, Rıza; Gupta, Rangan - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013469716
Saved in:
Cover Image
Bayesian VARs and prior calibration in times of COVID-19
Hartwig, Benny - 2022
This paper investigates the ability of several generalized Bayesian vector autoregressions to cope with the extreme COVID-19 observations and discusses their impact on prior calibration for inference and forecasting purposes. It shows that the preferred model interprets the pandemic episode as a...
Preview
Preview
Persistent link: https://ebtypo.dmz1.zbw/10013472790
Saved in:
Cover Image
Bayesian estimation of multivariate panel probits with higher-order network interdependence and an application to firms' global market participation in Guangdong
Baltagi, Badi H.; Egger, Peter; Kesina, Michaela - In: Journal of applied econometrics 37 (2022) 7, pp. 1356-1378
Persistent link: https://ebtypo.dmz1.zbw/10013473983
Saved in:
Cover Image
Estimating the Euro Area output gap using multivariate information and addressing the COVID-19 pandemic
Morley, James C.; Rodriguez Palenzuela, Diego; Sun, Yiqiao - 2022
We estimate the euro area output gap by applying the Beveridge-Nelson decomposition based on a large Bayesian vector autoregression. Our approach incorporates multivariate information through the inclusion of a wide range of variables in the analysis and addresses data issues associated with the...
Preview
Preview
Persistent link: https://ebtypo.dmz1.zbw/10013350551
Saved in:
Cover Image
Multivariate Overnight GARCH-Ito Model with Applications in Large Volatility Matrix Estimation and Prediction
Kim, Donggyu; Oh, Minseog; Song, Xinyu; Wang, Yazhen - 2022
This paper introduces a unified multivariate overnight GARCH-Ito model for volatility matrix estimation and prediction both in the low- and high-dimensional set-up. To account for whole-day market dynamics in the financial market, the proposed model has two different instantaneous volatility...
Persistent link: https://ebtypo.dmz1.zbw/10013290653
Saved in:
Cover Image
Implementing Multivariate Chebyshev Interpolation
Schlenkrich, Sebastian - 2022
In this paper we analyse multivariate Chebyshev interpolation for function approximation. We propose an algorithm for Chebyshev coefficient calibration and function interpolation that utilises high-level linear algebra operations. Such operations allow deferring large portions of the calculation...
Persistent link: https://ebtypo.dmz1.zbw/10013404065
Saved in:
Cover Image
Multivariate Quadratic Hawkes Processes – Part I : Theoretical Analysis
Aubrun, Cecilia; Benzaquen, Michael; Bouchaud, Jean-Philippe - 2022
Quadratic Hawkes (QHawkes) processes have proved effective at reproducing the statistics of price changes, capturing many of the stylised facts of financial markets. Motivated by the recently reported strong occurrence of endogenous co-jumps (simultaneous price jumps of several assets) we extend...
Persistent link: https://ebtypo.dmz1.zbw/10013404969
Saved in:
Cover Image
Multivariate Backtests and Copulas for Risk Evaluation
David, Boris; Zumbach, Gilles O. - 2022
Risk evaluation is a forecast, and its validity must be backtested. Probability distribution forecasts are used in this work and allow for more powerful validations compared to point forecasts. Our aim is to use bivariate copulas in order to characterize the in-sample copulas and to validate...
Persistent link: https://ebtypo.dmz1.zbw/10013405681
Saved in:
Cover Image
Multivariate Score-Driven Models for Count Time Series To Assess Financial Contagion
Agosto, Arianna - 2022
This paper develops a multivariate model for count time series, in which the time-varying intensity parameter determining the probability that an event occurs evolves according to general autoregressive score (GAS) models (see Creal et al., 2013; Harvey, 2013).The model is particularly suitable to...
Persistent link: https://ebtypo.dmz1.zbw/10013406167
Saved in:
Cover Image
Multivariate Zero-Inflated Inar(1) Model with an Application in Automobile Insurance
Zhang, Pengcheng; Chen, Zezhun; Tzougas, George; Wu, Xueyuan - 2022
The aim of this paper is to propose a multivariate INAR(1) model for addressing all the challenges in high-dimensional non-life claim count data sets that exhibit time and cross dependence and a zero-inflation attribute. In particular, the innovation terms are modelled using a multivariate...
Persistent link: https://ebtypo.dmz1.zbw/10013403387
Saved in:
Cover Image
The Decline in r* According to a Robust Multivariate Trend-cycle Decomposition
Morley, James; Tran, Trung Duc; Wong, Benjamin - 2022
Interest rates have fallen worldwide in recent decades, a phenomenon that has been linked at least in part to a decline in the natural rate of interest, r* (a.k.a. “r-star”). To investigate this decline, we consider a multivariate trend-cycle decomposition of real interest rates using a...
Persistent link: https://ebtypo.dmz1.zbw/10013308250
Saved in:
Cover Image
Multi-Band Texture Modeling Using Mixture of Multivariate Generalized Gaussians and Applications
Allili, Mohand Said; Daniel, Yapi - 2022
In this paper, we present a unified statistical model for multivariate and multi-modal sub-band distribution in multi-resolution transforms of color-texture images. This model is based on the formalism of finite mixtures of multivariate generalized Gaussians (MoMGG) which enables accurate...
Persistent link: https://ebtypo.dmz1.zbw/10013301010
Saved in:
Cover Image
Combining p-values for Multivariate Predictive Ability Testing
Spreng, Lars; Urga, Giovanni - 2022
In this paper, we propose an intersection-union test for multivariate forecast accuracy based on the combination of a sequence of univariate tests. The testing framework evaluates a global null hypothesis of equal predictive ability using any number of univariate forecast accuracy tests under...
Persistent link: https://ebtypo.dmz1.zbw/10013292396
Saved in:
Cover Image
An Oracle Inequality for Multivariate CAViaR Forecasting
Llorens-Terrazas, Jordi - 2022
This paper derives a finite-sample oracle inequality for a class of misspecified multivariate conditional autoregressive quantile forecasts. This inequality is used to establish that the M-estimator of a multivariate version of the conditional autoregressive Value-at-Risk model (CAViaR) achieves...
Persistent link: https://ebtypo.dmz1.zbw/10013288863
Saved in:
Cover Image
A Method for Large Underground Structures Geometry Evaluation Based on Multivariate Parameterization and Multidimensional Analysis of Point Cloud Data
Wroblewski, Adam; Wodecki, Jacek; Trybała, Paweł; … - 2022
In underground mining, the tunnels are performed mainly by blasting. Unfortunately, their quality may be different than expected. It is important to monitor both the quality and changes of existing tunnels. The length of corridors in underground mines is massive. Even if one wants to limit...
Persistent link: https://ebtypo.dmz1.zbw/10013300455
Saved in:
Cover Image
Design of Portfolio using Multivariate Analysis
Marisetty, Nagendra - 2022
Stock markets are considered a barometer of the respective country’s economy around the world. Modern portfolio theory advocates diversification for risk management, which helps maintain returns as long as indices around the world are not perfectly correlated. The relationship exists across...
Persistent link: https://ebtypo.dmz1.zbw/10013309563
Saved in:
Cover Image
Formulating MCoVaR to quantify joint transmissions of systemic risk across crypto and non-crypto markets : a multivariate copula approach
Hakim, Arief; Syuhada, Khreshna - In: Risks : open access journal 11 (2022) 2, pp. 1-45
Evidence that cryptocurrencies exhibit speculative bubble behavior is well documented. This evidence could trigger global financial instability leading to systemic risk. It is therefore crucial to quantify systemic risk and investigate its transmission mechanism across crypto markets and other...
Persistent link: https://ebtypo.dmz1.zbw/10013572991
Saved in:
Cover Image
Dependency modeling approach of cause-related mortality and longevity risks : HIV/AIDS
Bett, Nicholas; Kasozi, Juma; Ruturwa, Daniel - In: Risks : open access journal 11 (2022) 2, pp. 1-18
Disaggregation of mortality by cause has advanced the development of life tables for life insurance and pension purposes. However, the assumption that the causes of death are independent is a challenge in reality. Furthermore, models that determine relationships among causes of death such as...
Persistent link: https://ebtypo.dmz1.zbw/10013573087
Saved in:
Cover Image
ICS for multivariate functional anomaly detection with applications to predictive maintenance and quality control
Archimbaud, Aurore; Boulfani, Fériel; Gendre, Xavier; … - 2021
Persistent link: https://ebtypo.dmz1.zbw/10012434769
Saved in:
Cover Image
Structural panel Bayesian VAR with multivariate time-varying volatility to jointly deal with structural changes, policy regime shifts, and endogeneity issues
Pacifico, Antonio - In: Econometrics : open access journal 9 (2021) 2, pp. 1-35
This paper improves a standard Structural Panel Bayesian Vector Autoregression model in order to jointly deal with issues of endogeneity, because of omitted factors and unobserved heterogeneity, and volatility, because of policy regime shifts and structural changes. Bayesian methods are used to...
Persistent link: https://ebtypo.dmz1.zbw/10012547425
Saved in:
Cover Image
Asymptotic and finite sample properties for multivariate rotated GARCH models
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael; … - In: Econometrics : open access journal 9 (2021) 2, pp. 1-21
This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK (RBEKK) models. From the definition of RBEKK, the unconditional covariance matrix is estimated in the first step to rotate the observed variables in order to have the identity...
Persistent link: https://ebtypo.dmz1.zbw/10012547429
Saved in:
Cover Image
Money and foreign exchange markets dynamics in Nigeria : a multivariate GARCH approach
Atoi, Ngozi V.; Nwambeke, Chinedu G. - In: CBN journal of applied statistics 12 (2021) 1, pp. 109-138
This study examines money market and foreign exchange market dynamics in Nigeria by estimating the dynamic correlation and volatility spillovers between Nigeria Naira/US Dollar Bureau De Change (BDC) exchange rate and interbank call rate with data from January 2007 to August 2019. The study...
Persistent link: https://ebtypo.dmz1.zbw/10012604406
Saved in:
Cover Image
Objective Bayesian meta-analysis based on generalized multivariate random effects model
Bodnar, Olha; Bodnar, Taras - 2021
Persistent link: https://ebtypo.dmz1.zbw/10012604816
Saved in:
Cover Image
Multivariate analysis of energy commodities during the COVID-19 pandemic : evidence from a mixed-frequency approach
Andreani, Mila; Candila, Vincenzo; Morelli, Giacomo; … - In: Risks : open access journal 9 (2021) 8, pp. 1-20
This paper shows the effects of the COVID-19 pandemic on energy markets. We estimate daily volatilities and correlations among energy commodities relying on a mixed-frequency approach that exploits information from the number of weekly deaths related to COVID-19 in the United States. The...
Persistent link: https://ebtypo.dmz1.zbw/10012612379
Saved in:
  • 1
  • 2
  • 3
  • 4
  • 5
  • 6
  • 7
  • 8
  • 9
  • 10
  • Next
  • Last
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...