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  • Search: subject_exact:"Zeitreihenanalyse"
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Year of publication
Subject
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Zeitreihenanalyse 27,199 Time series analysis 25,929 Theorie 11,676 Theory 11,356 Schätztheorie 5,233 Estimation theory 5,170 Prognoseverfahren 5,118 Schätzung 5,101 Estimation 4,980 Forecasting model 4,976 Volatilität 2,891 Volatility 2,821 USA 2,757 United States 2,664 Kointegration 1,959 Cointegration 1,914 Konjunktur 1,855 Business cycle 1,781 Börsenkurs 1,699 Share price 1,650 ARCH-Modell 1,642 ARCH model 1,608 Kapitaleinkommen 1,557 Capital income 1,551 VAR-Modell 1,377 VAR model 1,348 Stochastischer Prozess 1,285 Zustandsraummodell 1,261 State space model 1,242 Stochastic process 1,240 Einheitswurzeltest 1,225 Unit root test 1,225 Strukturbruch 1,139 Structural break 1,115 Welt 990 World 963 Deutschland 956 Nichtparametrisches Verfahren 929 Statistischer Test 905 Wirtschaftswachstum 899
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Online availability
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Free 8,985 Undetermined 4,505
Type of publication
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Article 13,966 Book / Working Paper 13,212 Journal 20 Other 1
Type of publication (narrower categories)
All
Article in journal 12,794 Aufsatz in Zeitschrift 12,794 Working Paper 7,172 Graue Literatur 6,793 Non-commercial literature 6,793 Arbeitspapier 6,587 Aufsatz im Buch 918 Book section 918 Hochschulschrift 812 Thesis 650 Collection of articles of several authors 239 Sammelwerk 239 Collection of articles written by one author 165 Sammlung 165 Lehrbuch 147 Textbook 131 Bibliografie enthalten 127 Bibliography included 127 Aufsatzsammlung 108 Amtsdruckschrift 104 Government document 104 Konferenzschrift 100 Dissertation u.a. Prüfungsschriften 81 Conference paper 75 Konferenzbeitrag 75 Systematic review 74 Übersichtsarbeit 74 Forschungsbericht 61 Conference proceedings 52 Rezension 40 Statistik 36 Mehrbändiges Werk 34 Multi-volume publication 34 Article 28 Statistics 25 Festschrift 22 Handbook 19 Handbuch 19 Einführung 18 Bibliografie 16
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Language
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English 25,681 German 823 Undetermined 230 Spanish 163 French 140 Italian 40 Portuguese 38 Polish 29 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
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Gil-Alaña, Luis A. 320 Caporale, Guglielmo Maria 259 Koopman, Siem Jan 213 Phillips, Peter C. B. 212 Franses, Philip Hans 208 McAleer, Michael 141 Teräsvirta, Timo 127 Lütkepohl, Helmut 118 Gao, Jiti 114 Sibbertsen, Philipp 110 Pesaran, M. Hashem 108 Kapetanios, George 107 Gupta, Rangan 105 Harvey, Andrew C. 100 Kunst, Robert M. 89 Watson, Mark W. 88 Koop, Gary 87 Lucas, André 87 Johansen, Søren 85 Härdle, Wolfgang 84 Stock, James H. 84 Taylor, Robert 84 Marcellino, Massimiliano 81 Hyndman, Rob J. 80 Hendry, David F. 78 Perron, Pierre 75 Dijk, Herman K. van 74 Engle, Robert F. 74 Swanson, Norman R. 74 Granger, C. W. J. 73 Hassler, Uwe 72 Mills, Terence C. 71 Dijk, Dick van 68 Robinson, Peter M. 67 Maravall Herrero, Agustín 66 Proietti, Tommaso 65 Leybourne, Stephen James 62 Nielsen, Morten Ørregaard 62 Linton, Oliver 60 Ravazzolo, Francesco 60
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Institution
All
National Bureau of Economic Research 186 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 64 Ekonomiska forskningsinstitutet <Stockholm> 62 European University Institute / Department of Economics 34 Econometrisch Instituut <Rotterdam> 16 Umeå universitet 16 Centre for Quantitative Economics & Computing 13 Centre for Analytical Finance <Århus> 12 Escola de Pós-Graduação em Economia <Rio de Janeiro> 12 Umeå Universitet / Institutionen för Nationalekonomi 12 Federal Reserve Bank of St. Louis 11 European University Institute / Department of Law 10 London School of Economics and Political Science 10 University of Cambridge / Department of Applied Economics 10 Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre 8 Europäische Kommission / Statistisches Amt 8 Gottfried Wilhelm Leibniz Universität Hannover 8 Aarhus Universitet / Afdeling for Nationaløkonomi 7 Ludwig-Maximilians-Universität München / Volkswirtschaftliche Fakultät 7 University of Strathclyde / Department of Economics 7 Christian-Albrechts-Universität zu Kiel 6 Institut für Weltwirtschaft 6 State University of New York at Albany / Department of Economics 6 University of Exeter / Department of Economics 6 Australien / Bureau of Statistics 5 Birkbeck College / Department of Economics 5 Center for Economic Research <Tilburg> 5 Institut für Wirtschaftswissenschaften <Wien> 5 Manchester Business School 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 Australian National University / Faculty of Economics and Commerce 4 Centre for Growth and Business Cycle Research <Manchester> 4 Institut für Höhere Studien 4 Københavns Universitet / Økonomisk Institut 4 Loughborough University / Department of Economics 4 Norges Bank / Utredningsavdelingen 4 Organisation for Economic Co-operation and Development 4
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Published in...
All
Journal of econometrics 631 International journal of forecasting 495 Economics letters 437 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 380 Discussion paper / Tinbergen Institute 308 Econometric theory 307 Applied economics 306 Journal of forecasting 306 Economic modelling 254 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 227 Econometric reviews 209 Applied economics letters 206 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 193 Energy economics 187 Working paper / Department of Econometrics and Business Statistics, Monash University 181 CREATES research paper 163 Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 155 NBER working paper series 148 NBER Working Paper 146 Journal of applied econometrics 142 Working paper / National Bureau of Economic Research, Inc. 138 Working paper 132 CESifo working papers 125 Computational economics 118 Discussion paper / Centre for Economic Policy Research 111 Cowles Foundation discussion paper 105 Journal of economic dynamics & control 103 Oxford bulletin of economics and statistics 101 Journal of empirical finance 98 Econometrics : open access journal 96 Journal of macroeconomics 96 The econometrics journal 91 EUI working paper / ECO 84 Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics 84 Applied financial economics 80 International review of economics & finance : IREF 80 Tinbergen Institute Discussion Paper 77 SFB 649 discussion paper 75 Econometric Institute research papers 72 The North American journal of economics and finance : a journal of financial economics studies 72
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Source
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ECONIS (ZBW) 26,263 EconStor 621 USB Cologne (EcoSocSci) 266 USB Cologne (business full texts) 15 OLC EcoSci 13 RePEc 12 ArchiDok 5 BASE 4
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Showing 1 - 50 of 27,199
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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...
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A semi-nonparametric copula model for earnings mobility
Naguib, Costanza; Gagliardini, Patrick - 2023
In this paper we develop a novel semi-nonparametric panel copula model with external covariates for the study of wage rank dynamics. We focus on nonlinear dependence between the current and lagged worker's ranks in the wage residuals distribution, conditionally on individual characteristics. We...
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Seven pitfalls of technical analysis
Caporale, Guglielmo Maria; Plastun, Alex - 2023
This paper examines the main drawbacks of technical analysis. Although this is widely used by practitioners, from an academic perspective it can only be seen as a form of "voodoo finance". In particular, it runs into the following pitfalls: Subjectivity; Doubtful assumptions; Unjustified...
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Markovian approximations of stochastic Volterra equations with the fractional kernel
Bayer, Christian; Breneis, Simon - In: Quantitative finance 23 (2023) 1, pp. 53-70
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The rapid rise of Russia's wheat exports : price formation, spot-futures relations and volatility effects
Heigermoser, Maximilian - Leibniz-Institut für Agrarentwicklung in … - 2023
Over the past two decades, the Black Sea region has exhibited significantly growing wheat production and exports. In 2017/18, Russia ultimately became the world’s largest wheat exporter, a position that was held by the USA for decades. Mostly serving destination markets in the Middle East and...
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Nowcasting GDP using tone-adjusted time varying news topics : evidence from the financial press
Dijk, Dorinth van; Winter, Jasper de - 2023
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Impact of money supply in different states of inflation and economic growth in South Africa
Buthelezi, Eugene Msizi - In: Economies : open access journal 11 (2023) 2, pp. 1-22
This paper investigates the impact of the money supply in different states of inflation and economic growth in South Africa from 1990 to 2021. The term "states" defines periods of low and high rates of economic variables of interest. Markov-switching dynamic regression (MSDRM) and time-varying...
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Does money growth predict inflation? : evidence from vector autoregressions using four centuries of data
Edvinsson, Rodney; Karlsson, Sune; Österholm, Pär - 2023
In this paper, we add new evidence to a long-debated macroeconomic question, namely whether money growth has predictive power for inflation or, put differently, whether money growth Granger causes inflation. We use a historical dataset - consisting of annual Swedish data on money growth and...
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Recursive linear models optimized by bioinspired metaheuristics to streamflow time series prediction
Siqueira, Hugo; Belotti, Jonatas Trabuco; Boccato, Levy; … - In: International transactions in operational research : a … 30 (2023) 2, pp. 742-773
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Combining counterfactual outcomes and ARIMA models for policy evaluation
Menchetti, Fiammetta; Cipollini, Fabrizio; Mealli, Fabrizia - In: The econometrics journal 26 (2023) 1, pp. 1-24
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Explicit minimal representation of variance matrices, and its implication for dynamic volatility models
Abadir, Karim Maher - In: The econometrics journal 26 (2023) 1, pp. 88-104
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Islamic vs. conventional equity markets : a multifractal cross-correlation analysis with economic policy uncertainty
Aslam, Faheem; Ferreira, Paulo; Ali, Haider; Arifa; … - In: Economies : open access journal 11 (2023) 1, pp. 1-18
There is ample evidence that Islamic stock markets perform differently from conventional stock markets, particularly when economic policy uncertainty (EPU) or any other uncertainty such as geopolitical uncertainty is present. Considering this context, this paper examines the US EPU's...
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Identification of vector autoregressive models with nonlinear contemporaneous structure
Cordoni, Francesco; Doremus, Nicolas; Moneta, Alessio - 2023
We propose a statistical identification procedure for structural vector autoregressive (VAR) models that present a nonlinear dependence (at least) at the contemporaneous level. By applying and adapting results from the literature on causal discovery with continuous additive noise models to...
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Sparse trend estimation
Crump, Richard K.; Gospodinov, Nikolaj; Wieman, Hunter - 2023
The low-frequency movements of many economic variables play a prominent role in policy analysis and decision-making. We develop a robust estimation approach for these slow-moving trend processes, which is guided by a judicious choice of priors and is characterized by sparsity. We present some...
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Quarterly GDP estimates for the German States : new data for business cycle analyses and long-run dynamics
Lehmann, Robert; Wikman, Ida - 2023
To date, only annual information on economic activity is published for the 16 German states. In this paper, we calculate quarterly regional GDP estimates for the period between 1995 to 2021, thereby improving the regional database for Germany. The new data set will regularly be updated when...
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GALSTM-FDP : a time-series modeling approach using hybrid GA and LSTM for financial distress prediction
Al Ali, Amal; Khedr, Ahmed M.; El Bannany, Madgi; … - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-15
Despite the obvious benefits and growing popularity of Machine Learning (ML) technology, there are still concerns regarding its ability to provide Financial Distress Prediction (FDP). An accurate FDP model is required to avoid financial risk at the lowest possible cost. However, in the Internet...
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Measuring persistence of the world population : a fractional integration approach
Caporale, Guglielmo Maria; Infante, Juan; Rio, Marta del; … - 2023
This paper uses fractional integration methods to measure the degree of persistence in historical annual data on the world population over the period 1800-2016. The analysis is carried out for the original series, and also for its log transformation and its growth rate. The results indicate that...
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Persistence in UK historical data on life expectancy
Caporale, Guglielmo Maria; Infante, Juan; Rio, Marta del; … - 2023
This paper provides estimates of persistence in historical UK data on life expectancy applying fractional integration methods to both an annual series from 1842 to 2019 and a 5-year average from 1543 to 2019. The results indicate that the former exhibits an upward trend and is persistent but...
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Forecasting realized volatility in turbulent times using temporal fusion transformers
Frank, Johannes - 2023
This paper analyzes the performance of temporal fusion transformers in forecasting realized volatilities of stocks listed in the S&P 500 in volatile periods by comparing the predictions with those of state-of-the-art machine learning methods as well as GARCH models. The models are trained on...
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More efficient estimation of multiplicative panel data models in the presence of serial correlation
Brown, Nicholas; Wooldridge, Jeffrey M. - 2023
We provide a systematic approach in obtaining an estimator asymptotically more efficient than the popular fixed effects Poisson (FEP) estimator for panel data models with multiplicative heterogeneity in the conditional mean. In particular, we derive the optimal instrumental variables under...
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External instrument SVAR analysis for noninvertible shocks
Forni, Mario; Gambetti, Luca; Ricco, Giovanni - 2023
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Bayesian local projections
Ferreira, Leonardo Nogueira; Miranda-Agrippino, Silvia; … - 2023
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Explaining happiness trends in Europe
Easterlin, Richard A.; O'Connor, Kelsey J. - 2023
In Europe differences among countries in the overall change in happiness since the early 1980s have been due chiefly to the generosity of welfare state programs - increasing happiness going with increasing generosity and declining happiness with declining generosity. This is the principal...
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Estimation of the TFP gap for the largest five EMU countries
Carstensen, Kai; Kießner, Felix; Rossian, Thies - 2023
In this paper we augment the Bayesian unobserved components model of the EU Commission to estimate the cyclical component of total factor productivity (TFP gap) with a factor structure to include a wide array of business cycle indicators. We demonstrate that this model extension considerably...
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Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models
Hartkopf, Jan Patrick - In: Empirical economics : a quarterly journal of the … 64 (2023) 1, pp. 393-436
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Bayesian nonlinear expectation for time series modelling and its application to Bitcoin
Siu, Tak Kuen - In: Empirical economics : a quarterly journal of the … 64 (2023) 1, pp. 505-537
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Structural time series models and synthetic controls : assessing the impact of the euro adoption
Dreuw, Peter - In: Empirical economics : a quarterly journal of the … 64 (2023) 2, pp. 681-725
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Economic analysis using higher-frequency time series : challenges for seasonal adjustment
Ollech, Daniel - Deutsche Bundesbank - In: Empirical economics : a quarterly journal of the … 64 (2023) 3, pp. 1375-1398
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Evaluating the effectiveness of modern forecasting models in predicting commodity futures prices in volatile economic times
Vancsura, László; Tatay, Tibor; Bareith, Tibor - In: Risks : open access journal 11 (2023) 2, pp. 1-16
The paper seeks to answer the question of how price forecasting can contribute to which techniques gives the most accurate results in the futures commodity market. A total of two families of models (decision trees, artificial intelligence) were used to produce estimates for 2018 and 2022 for 21-...
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Dependency modeling approach of cause-related mortality and longevity risks : HIV/AIDS
Bett, Nicholas; Kasozi, Juma; Ruturwa, Daniel - In: Risks : open access journal 11 (2023) 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...
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A basic time series forecasting course with Python
Zemkoho, Alain B. - In: Operations research forum 4 (2023) 1, pp. 1-43
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Interpolation and correlation
Franses, Philip Hans - In: Applied economics 54 (2022) 14, pp. 1562-1567
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Small sample adjustment for hypotheses testing on cointegrating vectors
Canepa, Alessandra - In: Journal of time series econometrics 14 (2022) 1, pp. 51-85
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Score-driven threshold ice-age models : benchmark models for long-run climate forecasts
Blazsek, Szabolcs; Escribano, Álvaro - 2022
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The durability of economic indicators in container shipping demand : a case study of East Asia-US container transport
Kawasaki, Tomoya; Matsuda, Takuma; Lau, Yui-yip; Fu, Xiaowen - In: Maritime business review 7 (2022) 4, pp. 288-304
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Do consumption-based asset pricing models explain own-history predictability in stock market returns?
Ashby, Michael F.; Linton, Oliver - 2022
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Time series: entropy and informational energy
Mateescu, George Daniel - 2022
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Engle & Granger cointegration test for gdp and public consumption in the Republic of North Macedonia
Ivanovski, Zoran; Ivanovska, Nadica; Korunovska, Vesna - In: UTMS journal of economics / University of Tourism and … 13 (2022) 2, pp. 214-220
In this paper, we test cointegration between GDP and Public consumption of the Republic of North Macedonia, for quarterly data of twenty years' time series (2000Q1-2019Q4). We present results of two methods for cointegration test: first, residual regression test table and second, Engle & Granger...
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Is the Hamilton Regression Filter Really Superior to Hodrick-Prescott Detrending?
Franke, Reiner; Kukacka, Jiri; Sacht, Stephen - 2022
A recent article by J.D. Hamilton from 2018 attracted a great deal of attention, not only because of its telling title, "Why you should never use the Hodrick- Prescott filter", but also because it offered an alternative approach to detrending, the Hamilton regression filter (HRF). His...
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Time-Series and Cross-Section of Risk Premia Expectations : A Bottom-Up Approach
Bastianello, Federico - 2022
I construct a new dataset of subjective total return expectations at the single stock level using forecast data of sell-side analysts, which I then aggregate at both market and portfolio level. Sell-side analysts' expectations appear to be countercylical, contrarian and less persistent than...
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A Simple Nonparametric Conditional Quantile Estimator for Time Series with Thin Tails
Wang, Qiao - 2022
In this study, we consider a simple conditional quantile estimator in a nonparametric framework with time series data. We prove the consistency and asymptotic normality of our simple estimator for absolutely regular processes ( β -mixing). This simple estimator can get better finite sample...
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War Risk : Time Series and Cross-sectional Evidence from the Stock and Bond Markets
Mai, Dat; Pukthuanthong, Kuntara - 2022
We employ a semi-supervised topic model to extract the rare disaster risks and economic narratives from 7,000,000 NYT articles over 160 years. Our approach addresses the look-ahead bias and changes in semantics. War positively predicts market return in- and out-of-sample, while the economic...
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Forecasting Actuarial Time Series : A Practical Study of the Effect of Statistical Pre-Adjustments
Milionis, Alexandros E.; Galanopoulos, Nikolaos; … - 2022
One of the most important risks in the actuarial industry is the longevity risk. The accurate prediction of mortality rates plays a crucial role in the management of the aforementioned risk. Such predictions are performed by modelling the mortality rates using mortality models. Aiming at...
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A Modified Wild Bootstrap Procedure for Laplace Transforms of Volatility
Hounyo, Ulrich; Liu, Zhi; Varneskov, Rasmus Tangsgaard - 2022
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Exchange rate volatility and India-U.S. export at commodity level : evidence from an autoregressive distributed lag approach
Gupta, Mohini; Varshney, Sakshi - In: Iranian economic review : journal of University of Tehran 26 (2022) 4, pp. 853-875
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On the statistics of scaling exponents and the multiscaling value at risk
Brandi, Giuseppe; Di Matteo, Tiziana - In: The European journal of finance 28 (2022) 13/15, pp. 1361-1382
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Suisse stock return, macro factors, and efficient market hypothesis : evidence from ARDL model
Neifar, Malika - In: Research in business and management 9 (2022) 1, pp. 21-42
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Financial volatility modeling with option-implied information and important macro-factors
Yfanti, Stavroula; Karanasos, Menelaos - In: Journal of the Operational Research Society 73 (2022) 9, pp. 2129-2149
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Detecting and quantifying structural breaks in climate
Ericsson, Neil R.; Dore, Mohammed H. I.; Butt, Hassan - In: Econometrics : open access journal 10 (2022) 4, pp. 1-27
Structural breaks have attracted considerable attention recently, especially in light of the financial crisis, Great Recession, the COVID-19 pandemic, and war. While structural breaks pose significant econometric challenges, machine learning provides an incisive tool for detecting and...
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Linear system challenges of dynamic factor models
Anderson, Brian D. O.; Deistler, Manfred; Lippi, Marco - In: Econometrics : open access journal 10 (2022) 4, pp. 1-26
A survey is provided dealing with the formulation of modelling problems for dynamic factor models, and the various algorithm possibilities for solving these modelling problems. Emphasis is placed on understanding requirements for the handling of errors, noting the relevance of the proposed...
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