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An alternative Bayesian approach to structural breaks in time series models
Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick van - 2011
Persistent link: https://www.econbiz.de/10008857052
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Forecasting volatility with Copula-based time series models
Sokolinskiy, Oleg; Dijk, Dick van - 2011
Persistent link: https://www.econbiz.de/10009720755
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An alternative Bayesian approach to structural breaks in time series models
Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick van - 2011
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10011383033
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Nonlinear time series and neural-network models of exchange rates between the US Dollar and major currencies
Allen, David E.; McAleer, Michael; Peiris, Shelton; … - 2015
This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models, including smooth transition regression models,...
Persistent link: https://www.econbiz.de/10011378229
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Tests for serial independence and linearity based on correlation integrals
Diks, Cees G. H.; Manzan, Sebastiano - 2001
We propose information theoretic tests for serial independence and linearity in time series. The test statisticsare … mutual information is estimated using the correlation integral from chaos theory. The signi[tanceof the test statistics is … determined with a permutation procedure and a parametric bootstrap in the testsfor serial independence and linearity …
Persistent link: https://www.econbiz.de/10011317443
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Tests for serial independence and linearity based on correlation integrals
Diks, Cees G. H.; Manzan, Sebastiano - 2001
Persistent link: https://www.econbiz.de/10001606728
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A stochastic recurrence equation approach to stationarity and phi-mixing of a class of nonlinear ARCH models
Blasques, Francisco; Nientker, Marc - 2017
relies on stochastic recurrence equation theory and builds on the work of Bougerol (1993) and Straumann (2005). The … in Markov chain theory, as they require very little from the distribution of the underlying process. Furthermore, they …
Persistent link: https://www.econbiz.de/10011699508
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Smooth marginalized particle filters for dynamic network effect models
Wang, Dieter; Schaumburg, Julia - 2020
We propose the dynamic network effect (DNE) model for the study of high-dimensional multivariate time series data. Cross-sectional dependencies between units are captured via one or multiple observed networks and a low-dimensional vector of latent stochastic network effects. The...
Persistent link: https://www.econbiz.de/10012214446
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A simple strategy to prune neural networks with an application to economic time series
Kaashoek, Johan F.; Dijk, Herman K. van - 1997
A major problem in applying neural networks is specifying the sizeof the network. Even for moderately sized networks the number ofparameters may become large compared to the number of data. In thispaper network performance is examined while reducing the size of thenetwork through the use of...
Persistent link: https://www.econbiz.de/10010371106
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A simple strategy to prune neural networks with an application to economic time series
Kaashoek, Johan F.; Dijk, Herman K. van - 1997
Persistent link: https://www.econbiz.de/10000976085