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The econometrics of stochastic volatility

Harvey, Andrew C.; Shephard, Neil G. - 1993

Persistent link: https://www.econbiz.de/10000865088

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

Svetunkov, Sergey; 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

Posterior analysis of econometric models using Monte Carlo integration

Dijk, Herman K. van - 1984

Persistent link: https://www.econbiz.de/10000000631

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

Revisiting Haavelmo's structural econometrics : bridging the gap between theory and data

Spanos, Aris - In: The journal of economic methodology 22 (2015) 2, pp. 171-196

Persistent link: https://www.econbiz.de/10011376704

Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes

Wehrli, Alexander; Wheatley, Spencer; Sornette, Didier - In: Quantitative finance 21 (2021) 5, pp. 729-752

Persistent link: https://www.econbiz.de/10012500185

Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes

Wehrli, Alexander; Wheatley, Spencer; Sornette, Didier - 2020

The statistical estimate of the branching ratio η of the Hawkes model, when fitted to windows of mid-price changes, has been reported to approach criticality (η = 1) as the fitting window becomes large. In this study -- using price changes from the EUR/USD currency pair traded on the...

Persistent link: https://www.econbiz.de/10012219363

Series Estimation of Stochastic Processes: Recent Developments and Econometric Applications

Peter Phillips, Peter C. B.; Liao, Zhipeng - In: The Oxford handbook of applied nonparametric and …. 2014

Persistent link: https://www.econbiz.de/10012881214

A hierarchical approach to scalable Gaussian process regression for spatial data

Dearmon, Jacob; Smith, Tony E. - 2021

Persistent link: https://www.econbiz.de/10012542437

Dynamic model analysis : advanced matrix methods and unit root econometrics representation theorems

Faliva, Mario; Zoia, Maria Grazia - 2009 - 2. ed.

Persistent link: https://www.econbiz.de/10003744397

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