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Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators
Naimoli, Antonio; Gerlach, Richard; Storti, Giuseppe - In: Economic modelling 107 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013367470
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Moment Component Analysis: An Illustration with International Stock Markets
JONDEAU, Eric; JURCZENKO, Emmanuel; ROCKINGER, Michael
It is well known that non-normality plays an important role in asset and risk management. However, handling a large number of assets has long been a challenge. In this paper, we present a statistical technique that extends Principal Component Analysis to higher moments such as skewness and...
Persistent link: https://www.econbiz.de/10008922906
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Category-based Tail Comovement
Charpentier, Arthur; Galariotis, Emilios; Villa, Christophe - HAL - 2009
Traditional …financial theory predicts that comovement in asset returns is due to fundamentals. An alternative view is that of Barberis and Shleifer (2003) and Bar- beris, Shleifer and Wurgler (2005) who propose a sentiment based theory of comovement, delinking it from fundamentals. In their...
Persistent link: https://www.econbiz.de/10008793727
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FINDING UNDERLYING FACTORS USING THE INDEPENDENT COMPONENT ANALYSIS ON LABOUR MARKET – APPLICATION ON UNEMPLOYMENT RATE IN MONTHLY VARIATION
Linkaru, Cristina; Vasilica Ciuc?; Speran?a P?rciog; … - In: Regional Science Inquiry V (2013) 1, pp. 43-73
Independent Component Analysis ICA is “a method for finding underlying factors or components from multivariate … statistically independent and Non-Gaussian, we try to apply ICA method on labour market data. Following the methodology presented by …/cases. Orginal mixture data are pre-processing in the stage of Pre-whitened using Principal Component Analysis PCA, with NIPALS …
Persistent link: https://www.econbiz.de/10010962256
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Application of Machine Learning Algorithms to a Well Defined Clinical Problem: Liver Disease
Singh, Aman; Pandey, Babita; Takkar, Sakshi - In: International Journal of E-Health and Medical … 8 (2017) 4, pp. 38-60
demerits of these algorithms. KNN and PCA-KNN emerged to be the top individual and integrated models. The study also concluded …
Persistent link: https://www.econbiz.de/10012044444
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A Novel Approach for Ontology-Based Dimensionality Reduction for Web Text Document Classification
Elhadad, Mohamed K.; Badran, Khaled M.; Salama, Gouda I. - In: International Journal of Software Innovation (IJSI) 5 (2017) 4, pp. 44-58
method. The proposed ontology based approach was evaluated against the Principal component analysis (PCA) approach using …
Persistent link: https://www.econbiz.de/10012047801
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A Novel Approach for Ontology-Based Feature Vector Generation for Web Text Document Classification
Elhadad, Mohamed K.; Badran, Khaled M.; Salama, Gouda I. - In: International Journal of Software Innovation (IJSI) 6 (2018) 1, pp. 1-10
technique. The proposed ontology based approach was evaluated against the Principal component analysis (PCA) approach, and …
Persistent link: https://www.econbiz.de/10012047803
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The Use of Features Extracted from Noisy Samples for Image Restoration Purposes
STATE, Luminita; COCIANU, Catalina; VLAMOS, Panayiotis - In: Informatica Economica XI (2007) 1, pp. 73-78
conjectured to govern the natural neural assemblies and the classical principal component analysis (PCA) method used by …
Persistent link: https://www.econbiz.de/10009416755
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An integrated feature extraction based on principal components and deep auto encoder with extra tree for intrusion detection systems
Mallampati, Seshu Bhavani; Seetha, Hari - In: Journal of information & knowledge management : JIKM 23 (2024) 1, pp. 1-36
Persistent link: https://www.econbiz.de/10014534155
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PCA document reconstruction for email classification
Gomez, Juan Carlos; Moens, Marie-Francine - In: Computational Statistics & Data Analysis 56 (2012) 3, pp. 741-751
idea is that principal component analysis (PCA) can compress optimally only the kind of documents–in our experiments email … not perform well using only a few components. Thus, the classifier computes separately the PCA for each document class …
Persistent link: https://www.econbiz.de/10010577718