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~isPartOf:"ECB Working Paper"
~isPartOf:"European journal of operational research : EJOR"
~isPartOf:"MPRA Paper"
~person:"Wang, Shouyang"
~subject:"Time series analysis"
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Time series analysis
Asymptotic optimality
1
Estimation theory
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Forecasting
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Interval-valued time series
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Model averaging
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We study the mechanism that controls the shape of the bear market through an information diffusion perspective
1
Zeitreihenanalyse
1
and establish a frontier of market decline
1
duration and the rate of information diffusion. Empirical analysis using data from 15 stock markets confirms the existence of this trade-off relationship. An algorithm for generating the frontier using real data is proposed and applied in several market scenarios. The results suggest that the behaviour of international stock markets during the current US credit crunch is similar to that in previous bear markets in terms of the trivariate trade-off
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in terms of a trade-off between amplitude
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Wang, Shouyang
Hyndman, Rob J.
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Panagiotelis, Anastasios
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ECB Working Paper
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Model averaging for interval-valued data
Sun, Yuying
;
Zhang, Xinyu
;
Wan, Alan T. K.
;
Wang, Shouyang
- In:
European journal of operational research : EJOR
301
(
2022
)
2
,
pp. 772-784
Persistent link: https://www.econbiz.de/10013207677
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