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  • Search: subject_exact:"Zeitreihenanalyse"
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Year of publication
Subject
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Zeitreihenanalyse 31,789 Time series analysis 30,503 Theorie 14,054 Theory 13,731 Schätztheorie 6,826 Estimation theory 6,762 Prognoseverfahren 6,298 Forecasting model 6,152 Schätzung 6,108 Estimation 5,987 Volatilität 3,749 Volatility 3,678 USA 2,814 United States 2,718 ARCH-Modell 2,378 ARCH model 2,344 Kointegration 2,297 Cointegration 2,244 Konjunktur 2,207 Business cycle 2,129 Börsenkurs 2,128 Share price 2,079 VAR-Modell 1,874 VAR model 1,844 Stochastischer Prozess 1,768 Einheitswurzeltest 1,733 Unit root test 1,733 Kapitaleinkommen 1,722 Stochastic process 1,719 Capital income 1,716 Zustandsraummodell 1,444 State space model 1,424 Strukturbruch 1,299 Structural break 1,275 Regressionsanalyse 1,218 Regression analysis 1,201 Nichtparametrisches Verfahren 1,184 Prognose 1,153 Welt 1,149 Nonparametric statistics 1,135
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Online availability
All
Free 11,290 Undetermined 5,895 CC license 570
Type of publication
All
Article 16,239 Book / Working Paper 15,497 Journal 52 Other 1
Type of publication (narrower categories)
All
Article in journal 14,742 Aufsatz in Zeitschrift 14,742 Working Paper 7,793 Graue Literatur 7,385 Non-commercial literature 7,385 Arbeitspapier 7,205 Aufsatz im Buch 1,009 Book section 1,009 Hochschulschrift 836 Thesis 649 Collection of articles of several authors 223 Sammelwerk 223 Collection of articles written by one author 167 Sammlung 167 Lehrbuch 163 Textbook 134 Bibliografie enthalten 128 Bibliography included 128 Aufsatzsammlung 126 Konferenzschrift 111 Amtsdruckschrift 95 Government document 95 Conference paper 90 Konferenzbeitrag 90 Dissertation u.a. Prüfungsschriften 81 Systematic review 74 Übersichtsarbeit 74 Forschungsbericht 65 Rezension 54 Conference proceedings 49 Statistik 38 Monografische Reihe 33 Article 29 Statistics 25 Festschrift 23 Mehrbändiges Werk 23 Multi-volume publication 23 Einführung 19 Handbook 19 Handbuch 19
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Language
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English 30,236 German 859 Undetermined 227 Spanish 164 French 142 Italian 41 Portuguese 38 Polish 30 Russian 20 Czech 12 Dutch 9 Croatian 7 Swedish 7 Hungarian 6 Norwegian 6 Finnish 5 Turkish 5 Malay (macrolanguage) 4 Slovak 4 Danish 3 Slovenian 3 Chinese 3 Romanian 2 Bulgarian 1 Valencian 1 Japanese 1 Serbian 1
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Author
All
Gil-Alaña, Luis A. 429 Caporale, Guglielmo Maria 305 Phillips, Peter C. B. 273 Koopman, Siem Jan 252 Franses, Philip Hans 223 Gao, Jiti 153 McAleer, Michael 138 Teräsvirta, Timo 138 Lütkepohl, Helmut 136 Sibbertsen, Philipp 131 Lucas, André 124 Kapetanios, George 123 Gupta, Rangan 117 Pesaran, M. Hashem 116 Harvey, Andrew C. 113 Taylor, Robert 104 Härdle, Wolfgang 102 Watson, Mark W. 101 Johansen, Søren 97 Marcellino, Massimiliano 95 Kunst, Robert M. 92 Hyndman, Rob J. 91 Stock, James H. 90 Swanson, Norman R. 89 Engle, Robert F. 88 Koop, Gary 88 Dijk, Herman K. van 87 Hendry, David F. 86 Perron, Pierre 85 Dijk, Dick van 82 Granger, C. W. J. 82 Linton, Oliver 81 Nielsen, Morten Ørregaard 80 Proietti, Tommaso 76 Hassler, Uwe 75 Mills, Terence C. 72 Robinson, Peter M. 71 Saikkonen, Pentti 70 Leybourne, Stephen James 69 Maravall Herrero, Agustín 69
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Institution
All
National Bureau of Economic Research 220 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 76 Ekonomiska forskningsinstitutet <Stockholm> 64 European University Institute / Department of Economics 35 European Commission / Statistical Office of the European Communities 25 Umeå universitet 18 Econometrisch Instituut <Rotterdam> 15 European Commission / Statistical Office of the European Union 15 Centre for Quantitative Economics & Computing 14 Centre for Analytical Finance <Århus> 13 Escola de Pós-Graduação em Economia <Rio de Janeiro> 12 Umeå Universitet / Institutionen för Nationalekonomi 12 Gottfried Wilhelm Leibniz Universität Hannover 11 European University Institute / Department of Law 10 Federal Reserve Bank of St. Louis 10 University of Cambridge / Department of Applied Economics 10 European Commission / Joint Research Centre 9 London School of Economics and Political Science 9 Aarhus Universitet / Afdeling for Nationaløkonomi 8 Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre 8 Europäische Kommission / Statistisches Amt 7 Ludwig-Maximilians-Universität München / Volkswirtschaftliche Fakultät 7 University of Strathclyde / Department of Economics 7 Birkbeck College / Department of Economics 6 Christian-Albrechts-Universität zu Kiel / Institut für Weltwirtschaft 6 Federal Reserve System / Board of Governors 6 State University of New York at Albany / Department of Economics 6 University of Exeter / Department of Economics 6 Australien / Bureau of Statistics 5 Center for Economic Research <Tilburg> 5 Christian-Albrechts-Universität zu Kiel 5 Institut für Wirtschaftswissenschaften <Wien> 5 Manchester Business School 5 Organisation for Economic Co-operation and Development 5 Queen Mary College / Department of Economics 5 School of Finance and Business Economics <Perth, Western Australia> 5 University of Canterbury / Dept. of Economics and Finance 5 University of Southampton / Department of Economics 5 Centre for Growth and Business Cycle Research <Manchester> 4 European Central Bank 4
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Published in...
All
Journal of econometrics 768 International journal of forecasting 561 Economics letters 471 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 426 Journal of forecasting 366 Applied economics 354 Econometric theory 344 Discussion paper / Tinbergen Institute 339 Economic modelling 284 Econometric reviews 255 Applied economics letters 241 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 241 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 221 Working paper / Department of Econometrics and Business Statistics, Monash University 209 Working paper 199 Energy economics 193 NBER Working Paper 184 NBER working paper series 173 Computational economics 165 CREATES research paper 164 Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 160 Journal of applied econometrics 154 CESifo working papers 151 Working paper / National Bureau of Economic Research, Inc. 139 Journal of economic dynamics & control 130 Cowles Foundation discussion paper 125 Finance research letters 121 Econometrics : open access journal 120 Journal of empirical finance 119 Oxford bulletin of economics and statistics 114 Discussion paper / Centre for Economic Policy Research 113 The econometrics journal 106 Journal of macroeconomics 97 International review of economics & finance : IREF 95 The North American journal of economics and finance : a journal of financial economics studies 93 Discussion paper 88 Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics 87 International review of financial analysis 87 Tinbergen Institute Discussion Paper 85 Journal of the American Statistical Association : JASA 83
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Source
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ECONIS (ZBW) 30,843 EconStor 627 USB Cologne (EcoSocSci) 266 USB Cologne (business full texts) 15 OLC EcoSci 13 RePEc 12 ArchiDok 5 BASE 4 Other ZBW resources 4
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Showing 1 - 50 of 31,789
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Weak exogeneity, cointegration and stability tests
Bianchi, Annamaria; Khalaf, Lynda; Urga, Giovanni - 2025
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Identifying the underlying components of high-frequency data : pure vs jump diffusion processes
Hizmeri, Rodrigo; Izzeldin, Marwan; Urga, Giovanni - 2025
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Freidlin-Wentzell type exit-time estimates for time-inhomogeneous diffusions and their applications
Aleksian, Ashot; Villeneuve, Stéphane - 2025
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Multilevel time series models for small area estimation of social cohesion indicators based on the Dutch Social Cohesion and Well‐being Survey
Brakel, Jan A. van den; Boonstra, Harm Jan; Smeets, Marc - 2025
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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
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Testing for nonlinear cointegration under heteroskedasticity
Hanck, Christoph; Massing, Till Philipp Georg - In: Econometric reviews 44 (2025) 4, pp. 512-543
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Forecasting banking system liquidity using payment system data in Uzbekistan
Makhmudov, Shakhzod Abdullaevich - 2025
Forecasting banking system liquidity is crucial for the effective monetary policy implementation. This study investigates the effectiveness of various econometric and machine learning models in predicting the autonomous factors of banking system liquidity. The research compares widely used...
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Score-driven time-varying parameter models with splinebased densities
Brummelen, Janneke van; Gorgi, Paolo; Koopman, Siem Jan - 2025
We develop a score-driven time-varying parameter model where no particular parametric error distribution needs to be specified. The proposed method relies on a versatile spline-based density, which produces a score function that follows a natural cubic spline. This flexible approach nests the...
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Inference in dynamic models for panel data using the moving block bootstrap
Higgins, Ayden; Jochmans, Koen - 2025
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The equality cookbook: Swiss companies' recipes for gender parity
Raso-Domínguez, Xavier; Vazquez Espinosa, Diana; … - 2025
Corporations are under increasing pressure to align with SDG 5 (Gender Equality), ensuring equal opportunities for women and men in leadership, pay, and career growth. While studies on gender equality are growing, limited research explores the evolutionary paths leading to gender parity. This...
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From waves to rates : enhancing inflation forecasts through combinations of frequency-domain models
Verona, Fabio - 2025
This paper addresses the challenge of inflation forecasting by adopting a thick modeling approach that integrates forecasts from time- and frequency-domain models. Frequency-domain models excel at capturing long-term trends while also accounting for short-term fluctuations. Combining these...
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The impact of oil prices on Kazakhstan's business cycles : an empirical approach considering asymmetry
Akhmet, Alisher; Mussa, Aidynbek - 2025
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Does the tail of finance wag the dog of the real economy? : dynamic connectedness of the stock market and business confidence
Tita, Anthanasius Fomum; French, Joseph J.; Gurdgiev, … - In: International review of economics & finance : IREF 98 (2025), pp. 1-15
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Nonlinear effects of uncertainty shocks : state dependency and asymmetry
Morita, Hiroshi; Yuasa, Shiro - 2025
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Quantifying Federal Reserve credibility
Hall, Stephen G.; Tavlas, George S. - 2025
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Toward proactive policy design : identifying "to-be" energy-poor households using Shap for early intervention
Budría, Santiago; Fermé, Eduardo; Freitas, Diogo Nuno - 2025
Identifying at-risk populations is essential for designing effective energy poverty interventions. Using data from the HILDA Survey, a longitudinal dataset representative of the Australian population, and a multidimensional index of energy poverty, we develop a machine learning model combined...
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"Revealing the future" : an ARIMA model analysis for predicting remittance inflows
Khan, Imran; Gunwant, Darshita Fulara - In: Journal of business and socio-economic development 5 (2025) 2, pp. 155-170
Purpose - The purpose of this research is to develop a predictive model that can estimate the volume of remittances channeled toward Yemen's economic reconstruction efforts. Design/methodology/approach - This study utilized a time-series dataset encompassing remittance inflows into Yemen's...
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The future of European regional inequalities : Box-Cox transformed ARMA process trend smoothing (BATS) forecasting
Duran, Hasan Engin; Elburz, Zeynep; Çifçi, Burcu Değerli - 2025
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Beyond aggregates: a dual lens on eurozone trend inflation
Yakut, Dilan Aydın - 2025
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Asymptotic F and t tests in cointegrating regressions with asymptotically homogeneous functions
Hwang, Jungbin; Sun, Yixiao - 2025
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Improving disaggregated short-term food inflation forecasts with webscraped data
Beer, Christian; Ferstl, Robert; Graf, Bernhard - 2025 - This version: January 10, 2025
This study examines the effectiveness of using webscraped data to predict price developments in the Austrian food retail sector. We calculate monthly nowcasts of price changes based on daily price data collected by the OeNB since mid-2020, using Eurostat methodology for price index calculation,...
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Distributional dynamics
Bayer, Christian; Calderon, Luis; Kuhn, Moritz - 2025
We develop a new method for deriving high-frequency synthetic distributions of consumption, income, and wealth. Modern theories of macroeconomic dynamics identify the joint distribution of consumption, income, and wealth as a key determinant of aggregate dynamics. Our novel method allows us to...
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Testing for multiple structural breaks in multivariate long memory regression models
Less, Vivien; Rodrigues, Paulo M. M.; Sibbertsen, Philipp - 2025
This paper focuses on the estimation and testing of multiple breaks that occur at unknown dates in multivariate long memory time series regression models, allowing for fractional cointegration. A likelihood-ratio based approach for estimating the breaks in the parameters and in the covariance of...
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Relationship between Japanese stock market behavior and category-based news
Nakayama, Jun; Yokouchi, Daisuke - 2025
This study investigates the relationship between news delivered via the QUICK terminal and stock market behavior. Specifically, through an evaluation of the performance of investment strategies that utilize news index created based on its scores indicating positive or negative sentiment, we...
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Assessing the impact of the establishment of Japan advanced semiconductor manufacturing on Taiwani's foreign direct investment in Japan : an interrupted time series analysis
Ko, Yi-Chun - 2025
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Optimized solar energy forecasting for sustainable development using machine learning, deep learning, and chaotic models
Saadati, Taraneh; Barutcu, Burak - In: International Journal of Energy Economics and Policy : IJEEP 15 (2025) 1, pp. 110-120
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Global sourcing under tariffs : a perspective of time series analysis
Zhang, D. James; Dabadghao, Shaunak S.; Udenio, Maximiliano - 2025
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Hierarchical time series forecasting in emergency medical services
Rostami-Tabar, Bahman; Hyndman, Rob J. - In: Journal of service research 28 (2025) 2, pp. 278-295
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Modeling the relationships among the stock market, gold price, oil price and exchange rate : a MECM and VDA approach
Agrawal, Pravin Kumar; Kumar, Mohit - In: Financial internet quarterly 21 (2025) 1, pp. 1-14
Globalization and liberalization have heightened the volatility and complexity of financial markets, prompting investors to diversify their portfolios across different asset classes. This study investigates the dynamic interrelationships among the Indian stock market benchmark index (Nifty 50),...
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Innovations meet narratives : improving the power-credibility trade-off in macro
Barnichon, Régis; Mesters, Geert - 2025
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A novel approach to predictive accuracy testing in nested environments
Pitarakis, Jean-Yves - 2025
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Bankruptcies during Covid-19 in Italy : an interrupted time-series analysis
Ferri, Valentina; Gallo, Giovanni; Scicchitano, Sergio - 2025
The COVID-19 pandemic triggered widespread economic disruptions, raising concerns about surging bankruptcy rates globally. Italy, one of the hardest-hit countries, faced significant risks of business insolvency. This paper empirically investigates the short-term impact of government...
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Are money demand equations still alive and kicking? : historical evidence of cointegration for the UK, using nonlinear techniques
Escribano, Álvaro; Rodríguez, Juan-Andrés; Arranz, … - 2025
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Trend inflation and structural shocks
Fu, Bowen; Mendieta-Muñoz, Ivan - 2025
This paper studies the effects of key underlying macroeconomic variables on the trend inflation rate in the USA. To do so, we consider eight structural shocks that incorporate a broad set of information for the US economy and that can be regarded as the main structural determinants of the...
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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...
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Improved gradient scaling for score-driven filters with an application to stock market volatility
Blazsek, Szabolcs; Escribano, Álvaro; Ayala, Astrid - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015396160
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From ABM back to real data : time series visualization and model selection in the K+S agent-based model
Dosi, Giovanni; Pereira, Marcelo C.; Petrini, Gabriel; … - 2025
Agent-Based Models (ABMs) provide powerful tools for economic analysis, capturing microto-macro interactions and emergent properties. However, integration with empirical data has been a persistent challenge. To address it, we propose a protocol for integration between empirical data and ABM,...
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On the time-varying causal relationships that drive bitcoin returns
Stengos, Thanasēs; Panagiōtidēs, Theodōros; … - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015401931
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Longer-run equilibrium interest rates : evidence from the United Kingdom
Kaykhusraw, Omar - In: Economica 92 (2025) 366, pp. 457-482
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015402032
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Forecasting atmospheric ethane : application to the Jungfraujoch Measurement Station
Friedrich, Marina; Moussa, Karim; Shapovalova, Yuliya; … - 2025
Understanding the developments of atmospheric ethane is essential for better identifying the anthropogenic sources of methane, a major greenhouse gas with high global warming potential. While previous studies have focused on analyzing past trends in ethane and modeling the inter-annual...
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Observation-driven hierarchical density models for missing data imputation
Khanna, Yonas; Lucas, André - 2025
We propose an observation-driven dynamic common factor model for missing value imputation in high-dimensional panel data. The model exploits both serial and cross-sectional information in the data and can easily cope with time-variation in conditional means and variances, as well as with either...
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A comment on: "Autoregressive conditional duration : a new model for irregularly spaced transaction data"
Cavaliere, Giuseppe; Mikosch, Thomas; Rahbek, Anders; … - In: Econometrica : journal of the Econometric Society, an … 93 (2025) 2, pp. 719-729
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015401165
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An IID test for functional time series with applications to high-frequency VIX index data
Huang, Xin; Shang, Han Lin; Siu, Tak Kuen - In: Risks : open access journal 13 (2025) 2, pp. 1-25
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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015333723
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Decoding the stock market dynamics in the banking sector : short versus long-term insights
Čeryová, Barbara; Árendáš, Peter - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015359871
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New rank-based tests and estimators for common primitive shocks
Carlini, Federico; Rubin, Mirco; Vallarino, Pierluigi - 2025 - This version: February 28, 2025
We propose a new rank-based test for the number of common primitive shocks, q, in large panel data. After estimating a VAR(1) model on r static factors extracted by principal component analysis, we estimate the number of common primitive shocks by testing the rank of the VAR residuals'...
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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
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Improved LSTM hyperparameters alongside sentiment walk-forward validation for time series prediction
Wahyuddin, Eko Putra; Caraka, Rezzy Eko; Kurniawan, Robert - In: Journal of open innovation : technology, market, and … 11 (2025) 1, pp. 1-12
This study aims to address the common issue of biased estimation errors in time series modeling by analyzing the error in locating ideal hyperparameters and defining appropriate validation methods. Specifically, it focuses on predicting the stock price of Bank Rakyat Indonesia using a...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015358559
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Filling the gap : the geographical allocation of euro area portfolio investment liabilities and related income
Bosetti, Isabella; Incardona, Rocco; Rodríguez Caloca, … - 2025
This paper presents the estimation method used to break down the euro area portfolio investment liabilities in the international investment position (i.i.p.) and their corresponding income debits in the balance of payments (b.o.p.), by main geographical counterpart. Identifying non-resident...
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A robust method to date recessions and compute output gaps : the Portuguese case
Assunção, João; Fernandes, Pedro Afonso - In: Portuguese economic journal 24 (2025) 1, pp. 101-121
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On GARCH and autoregressive stochastic volatility approaches for market calibration and option pricing
Pang, Tao; Zhao, Yang - In: Risks : open access journal 13 (2025) 2, pp. 1-24
In this paper, we carry out a comprehensive comparison of Gaussian generalized autoregressive conditional heteroskedasticity (GARCH) and autoregressive stochastic volatility (ARSV) models for volatility forecasting using the S&P 500 Index. In particular, we investigate their performance using...
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