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Filtering the noise from time series and spatial data

Berke, Olaf - 1998

Noisy observations form the basis for almost every scientific research and especially in environmental monitoring. The Noise is often an effect of imprecise instruments which cause measurement errors. If the noise variance is known it is possible to filter out the contaminating noise from the...

Persistent link: https://www.econbiz.de/10010467710

Information diffusion and the lead-lag relationship between small and large size portfolios : evidence from an emerging market

Drakos, Anastassios A.; Diamandis, Panayotis F.; … - In: International journal of economics and finance 7 (2015) 11, pp. 25-38

Persistent link: https://www.econbiz.de/10011401093

Copula methods for forecasting multivariate time series

Patton, Andrew J. - 2013

Persistent link: https://www.econbiz.de/10011507033

The time-varying relation between stock returns and monetary variables

McMillan, David G. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-17

shifting the pattern of behaviour. We show a change in the correlation between each of the three variables with stock returns …. Notably, a predominantly negative correlation with bond yields and inflation becomes positive, while the opposite is true for …

Persistent link: https://www.econbiz.de/10012813273