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Complex-Valued Econometrics with Examples in R : Modelling, Regression and Applications

Svetunʹkov, Sergej Gennadʹevič; Svetunkov, Ivan - 2024

. Correlation analysis of complex random variables -- Chapter 4. Multiple Complex Linear Regression -- Chapter 5. Assumptions of … depth of economic forecasting and data analysis. From simple to multiple complex linear regression, the monograph discusses … model formulation, estimation techniques, and correlation analysis, supported by examples in R. This comprehensive guide is …

Persistent link: https://www.econbiz.de/10014631750

Forecasting with many models : model confidence sets and forecast combination

Samuels, Jon D.; Sekkel, Rodrigo - 2013

A longstanding finding in the forecasting literature is that averaging forecasts from different models often improves upon forecasts based on a single model, with equal weight averaging working particularly well. This paper analyzes the effects of trimming the set of models prior to averaging....

Persistent link: https://www.econbiz.de/10009734344

Estimating base temperatures in econometric models that include degree days

Woods, James; Fuller, Cody - In: Energy economics 45 (2014), pp. 166-171

Persistent link: https://www.econbiz.de/10010504773

Predictive density combination using a tree-based synthesis function

Chernis, Tony; Hauzenberger, Niko; Huber, Florian; … - 2023 - Last updated: December 28, 2023

Bayesian predictive synthesis (BPS) is a method of combining predictive distributions based on agent opinion analysis …

Persistent link: https://www.econbiz.de/10014457607

It's all about volatility of volatility : evidence from a two-factor stochastic volatility model

Grassi, Stefano; Santucci de Magistris, Paolo - In: Journal of empirical finance 30 (2015), pp. 62-78

Persistent link: https://www.econbiz.de/10011489216

How to compare market efficiency? : the Sharpe ratio based on the ARMA-GARCH forecast

Liu, Lin; Chen, Qiguang - In: Financial innovation : FIN 6 (2020) 38, pp. 1-21

-form efficiency among different markets. The results of stochastic simulation demonstrate the validity of the proposed method. The …

Persistent link: https://www.econbiz.de/10012296006

It's all about volatility of volatility : evidence from a two-factor stochastic volatility model

Grassi, Stefano; Santucci de Magistris, Paolo - 2014

The persistent nature of equity volatility is investigated by means of a multi-factor stochastic volatility model with time varying parameters. The parameters are estimated by means of a sequential matching procedure which adopts as auxiliary model a time-varying generalization of the HAR model...

Persistent link: https://www.econbiz.de/10010402299

Forecasting dirty tanker freight rate index by using stochastic differential equations

Jafari, Hossein; Rahimi, Ghazaleh - In: International journal of financial engineering 5 (2018) 4, pp. 1-15

Persistent link: https://www.econbiz.de/10012028815

High-dimensional Holt-Winters trend model : fast estimation and prediction

Sbrana, Giacomo - In: Journal of the Operational Research Society 72 (2021) 3, pp. 701-713

Persistent link: https://www.econbiz.de/10012500983

Google econometrics : nowcasting euro area car sales and big data quality requirements

Nymand-Andersen, Per; Pantelidis, Emmanouil - 2018

quality improvements in the data source are needed in order to move beyond experimental statistics. If these quality …

Persistent link: https://www.econbiz.de/10011936143