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Aktienprognosen zur Portfolio-Optimierung
Marx, Stefan - 1996
Persistent link: https://www.econbiz.de/10004309592
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The ARCH effect : a model of gradual anticipation for autoaggressive conditional heteroskedasticity in asset returns
Mohy El Din, Tarek - 1997
Persistent link: https://www.econbiz.de/10004319577
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Volatility Estimation and Stock Price Prediction in the Nigerian Stock Market
Mayowa Gabriel, AJAO; Mary Ugochukwu, WEMAMBU - In: International Journal of Financial Research 3 (2012) 1, pp. 2-14
This study aimed at understanding the Nigerian Stock Market with regards to volatility and prediction, to this effect … volatility. The study found the presence of volatility in all the four stock prices used, while stock price volatility was then …, only two companies¡¯ stock prices were predicted by volatility in their stock prices, while past stock prices predicted …
Persistent link: https://www.econbiz.de/10011267758
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Volatility and cross correlation across asset markets: Evidence from the French and US markets over the 1997-2000 period
Laborde, David; Rey, Serge - Volkswirtschaftliche Fakultät, … - 2001
(with causal feedback), and that they affect the exchange rate volatility. Finally, with weekly data we highlight that the … euro/dollar volatility "Granger-cause" the rate of return on stocks. …
Persistent link: https://www.econbiz.de/10009643213
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Estimating Volatility Returns Using ARCH Models. An Empirical Case: The Spanish Energy Market
Alverola, Ricardo - In: Lecturas de Economía (2007) 66, pp. 251-276
Heteroscedastic (ARCH) processes to the series in order to model their volatility. The paper finds that just two series have a …
Persistent link: https://www.econbiz.de/10005464641
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Quantitatively analyze the impact of land use/land cover change on annual runoff decrease
Li, Jianzhu; Tan, Senming; Chen, Fulong; Feng, Ping - In: Natural Hazards 74 (2014) 2, pp. 1191-1207
Annual runoff in Luanhe river basin was detected a downward trend and caused water crisis in Tianjin, China. To quantify the decreased runoff volume, Mann–Kendall test and Pettitt test were employed to check whether there existed significant trend and change points for annual rainfall and...
Persistent link: https://www.econbiz.de/10010995742
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Seasonality Characteristics and Spatio-temporal Trends of 7-day Low Flows in a Large, Semi-arid Watershed
Farahani, Maryam Azizabadi; Khalili, Davar - In: Water Resources Management 27 (2013) 14, pp. 4897-4911
Seasonality characteristics and spatio-temporal trends of 7-day low flows were investigated for the 41,470 km<Superscript>2</Superscript> semi-arid Karkheh watershed (western Iran), representing 12 stations with record length of 51 years (1958–2008). Hierarchical Cluster Analysis (HCA) was used to identify low-flow...</superscript>
Persistent link: https://www.econbiz.de/10010997420
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Adaptively refined dynamic program for linear spline regression
Goldberg, Noam; Kim, Youngdae; Leyffer, Sven; Veselka, … - In: Computational Optimization and Applications 58 (2014) 3, pp. 523-541
The linear spline regression problem is to determine a piecewise linear function for estimating a set of given points while minimizing a given measure of misfit or error. This is a classical problem in computational statistics and operations research; dynamic programming was proposed as a...
Persistent link: https://www.econbiz.de/10010998245
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Online classification of states in intensive care
Gather, Ursula; Fried, Roland; Imhoff, Michael - Institut für Wirtschafts- und Sozialstatistik, … - 2000
In modern intensive care physiological variables of the critically ill can be reported online by clinical information systems. Intelligent alarm systems are needed for a suitable bedside decision support. The existing alarm systems based on fixed treshholds produce a great number of false...
Persistent link: https://www.econbiz.de/10010955523
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Sequential change point detection in linear quantile regression models
Zhou, Mi; Wang, Huixia Judy; Tang, Yanlin - In: Statistics & Probability Letters 100 (2015) C, pp. 98-103
We develop a method for sequential detection of structural changes in linear quantile regression models. We establish the asymptotic properties of the proposed test statistic, and demonstrate the advantages of the proposed method over existing tests through simulation.
Persistent link: https://www.econbiz.de/10011263152