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Testing for a single-factor stochastic volatility in bivariate series

Chiba, Masaru; Kobayashi, Masahito - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 31-61

This paper proposes the Lagrange multiplier test for the null hypothesis thatthe bivariate time series has only a single common stochastic volatility factor and noidiosyncratic volatility factor. The test statistic is derived by representing the model in alinear state-space form under the...

Persistent link: https://www.econbiz.de/10011555751

The predictive power of the business and bank sentiment of firms : a high-dimensional Granger causality approach

Wilms, Ines; Gelper, Sarah; Croux, Christophe - In: European journal of operational research : EJOR 254 (2016) 1, pp. 138-147

Persistent link: https://www.econbiz.de/10011503231

Exploring the sources of uncertainty : why does bagging for time series forecasting work?

Petropoulos, Fotios; Hyndman, Rob J.; Bergmeir, Christoph - In: European journal of operational research : EJOR 268 (2018) 2, pp. 545-554

Persistent link: https://www.econbiz.de/10011852628

Hierarchical Bayesian models applied to air surveillance radars

Velarde, Luis Guillermo C.; Migon, Hélio dos Santos; … - In: European journal of operational research : EJOR 184 (2008) 3, pp. 1155-1162

Persistent link: https://www.econbiz.de/10003768672

Adaptive neural network model for time-series forecasting

Wong, W. K.; Xia, Min; Chu, W. C. - In: European journal of operational research : EJOR 207 (2010) 2, pp. 807-816

Persistent link: https://www.econbiz.de/10008652694

Degradation-based maintenance decision using stochastic filtering for systems under imperfect maintenance

Zhang, Mimi; Gaudoin, Olivier; Xie, Min - In: European journal of operational research : EJOR 245 (2015) 2, pp. 531-541

Persistent link: https://www.econbiz.de/10011308973

Nonparametric predictive reliability of series of voting systems

Aboalkhair, Ahmad M.; Coolen, Frank P. A.; MacPhee, Ian M. - In: European journal of operational research : EJOR 226 (2013) 1, pp. 77-84

Persistent link: https://www.econbiz.de/10009715681

A new wavelet-based denoising algorithm for high-frequency financial data mining

Sun, Edward W.; Meinl, Thomas - In: European journal of operational research : EJOR 217 (2012) 3, pp. 589-599

Persistent link: https://www.econbiz.de/10009419039

Forecasting accuracy of behavioural models for participation in the arts

Ateca Amestoy, Victoria; Prieto-Rodriguez, Juan - In: European journal of operational research : EJOR 229 (2013) 1, pp. 124-131

Persistent link: https://www.econbiz.de/10009757778

Cash demand forecasting in ATMs by clustering and neural networks

Venkatesh, Kamini; Ravi, Vadlamani; Prinzie, Anita; Van … - In: European journal of operational research : EJOR 232 (2014) 2, pp. 383-392

Persistent link: https://www.econbiz.de/10010224693