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Parameter estimation and forecasting for multiplicative lognormal cascades
Leövey, Andrés E.; Lux, Thomas - 2011
We study the well-known multiplicative Lognormal cascade process in which the multiplication of Gaussian and Lognormally distributed random variables yields time series with intermittent bursts of activity. Due to the non-stationarity of this process and the combinatorial nature of such a...
Persistent link: https://www.econbiz.de/10009389845
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Nonparametric modelling of financial time series
Heid, Frank - 1998
Persistent link: https://www.econbiz.de/10000989214
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Are short term stock asset returns predictable? : an extended empirical analysis
Mazzoni, Thomas - 2010
Persistent link: https://www.econbiz.de/10003977437
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Multifractal models, intertrade durations and return volatility
Segnon, Mawuli - 2015
Persistent link: https://www.econbiz.de/10011299266
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Forecasting the stock-cryptocurrency relationship : evidence from a dynamic GAS model
Ivanovski, Kris; Hailemariam, Abebe - In: International review of economics & finance : IREF 86 (2023), pp. 97-111
Persistent link: https://www.econbiz.de/10014431156
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Nonparametric modelling of financial time series
Heid, Frank - 1998
Persistent link: https://www.econbiz.de/10000668367
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Nonparametric modeling in financial time series
Franke, Jürgen; Kreiß, Jens-Peter; Mammen, Enno - In: Handbook of financial time series, (pp. 927-952). 2009
Persistent link: https://www.econbiz.de/10003834268
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The impact of uncertainty on professional exchange rate forecasts
Beckmann, Joscha; Czudaj, Robert - 2016
This paper analyzes the role of uncertainty on both exchange rate expectations and forecast errors of professionals for … Bayesian VAR approach, we observe that effects on forecast errors of professionals turn out to be more significant compared to …
Persistent link: https://www.econbiz.de/10011532311
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Forecasting the global mean sea level, a continuous-time state-space approach
Boldrini, Lorenzo - 2015
Persistent link: https://www.econbiz.de/10011327705
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Growth forecasts using time series and growth models
Kraay, Aart; Monokroussos, George - 1999
Persistent link: https://www.econbiz.de/10001436627