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Seasonal time series and autocorrelation function estimation

Lee, Hahn-shik; Ghysels, Eric; Bell, William R. - In: The Manchester School 70 (2002) 5, pp. 651-665

Persistent link: https://www.econbiz.de/10001699703

Seasonal Time Series and Autocorrelation Function Estimation

Lee, Hahn Shik; Ghysels, Eric; Bell, William R. - 2004

Time series are demeaned when sample autocorrelation functions are computed. By the same logic it would seem appealing … to remove seasonal means from seasonal time series before computing sample autocorrelation functions. Yet, standard … series are seasonally demeaned has very important consequences on the asymptotic behavior of autocorrelation functions. The …

Persistent link: https://www.econbiz.de/10014109223

Spectral analysis, seasonality, nonlinearity, methodology, and forecasting

Ghysels, Eric (contributor); Granger, C. W. J. (honouree) - 2001

Persistent link: https://www.econbiz.de/10001621177

Chapter 13 Forecasting Seasonal Time Series

Ghysels, Eric; Osborn, Denise R.; Rodrigues, Paulo M.M. - 2006

This chapter reviews the principal methods used by researchers when forecasting seasonal time series. In addition, the often overlooked implications of forecasting and feedback for seasonal adjustment are discussed. After an introduction in Section 1, Section 2 examines traditional univariate...

Persistent link: https://www.econbiz.de/10014023693

Should Macroeconomic Forecasters Use Daily Financial Data and How?

Andreou, Elena - 2012

We introduce easy to implement regression-based methods for predicting quarterly real economic activity that use daily financial data. Our analysis is designed to elucidate the value of daily information and provide real-time forecast updates of the current (nowcasting) and future quarters. Our...

Persistent link: https://www.econbiz.de/10013115491

Monitoring disruptions in financial markets

Andreou, Elena; Ghysels, Eric - In: Journal of econometrics 135 (2006) 1/2, pp. 77-124

Persistent link: https://www.econbiz.de/10003376079

Artificial Intelligence Alter Egos : Who benefits from Robo-investing?

D'Hondt, Catherine - 2019

Artificial intelligence, or AI, enhancements are increasingly shaping our daily lives. Financial decision-making is no exception to this. We introduce the notion of AI Alter Egos, which are shadow robo-investors, and use a unique data set covering brokerage accounts for a large cross-section of...

Persistent link: https://www.econbiz.de/10012867116

The effect of seasonal adjustment filters on tests for a unit root

Ghysels, Eric; Perron, Pierre - 1990

Persistent link: https://www.econbiz.de/10000809708

On the (mis)specification of seasonality and its consequences : an empirical investigation with US data

Ghysels, Eric - In: Empirical economics : a journal of the Institute for … 18 (1993) 4, pp. 747-760

Persistent link: https://www.econbiz.de/10001331522

Is seasonal adjustment a linear or nonlinear data-filtering process?

Ghysels, Eric - In: Journal of business & economic statistics : JBES ; a … 14 (1996) 3, pp. 374-386

Persistent link: https://www.econbiz.de/10001334389

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