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Low frequency and weighted likelihood solutions for mixed frequency dynamic factor models
Blasques, Francisco; Koopman, Siem Jan; Mallee, Max I. P. - 2014
The multivariate analysis of a panel of economic and financial time series with mixed frequencies is a challenging problem. The standard solution is to analyze the mix of monthly and quarterly time series jointly by means of a multivariate dynamic model with a monthly time index: artificial...
Persistent link: https://www.econbiz.de/10010391543
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Causality in the aluminum market
Clark, Andrew - In: Journal of commodity markets 27 (2022), pp. 1-16
Persistent link: https://www.econbiz.de/10014276626
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Some notes on discount factor restrictions for dynamic optimization problems
Sorger, Gerhard (contributor) - 2008
Persistent link: https://www.econbiz.de/10003812527
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Some notes on discount factor restrictions for dynamic optimization problems
Sorger, Gerhard - In: Journal of mathematical economics 45 (2009) 7/8, pp. 435-448
Persistent link: https://www.econbiz.de/10003879894
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The cross-entopy method with patching for rare-event simulation of large Markov chains
Kaynar, Bahar; Ridder, Ad - 2009
Persistent link: https://www.econbiz.de/10003888073
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The cross-entropy method with patching for rare-event simulation of large Markov chains
Kaynar, Bahar; Ridder, Ad - In: European journal of operational research : EJOR 207 (2010) 3, pp. 1380-1397
Persistent link: https://www.econbiz.de/10008702187
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The cross-entropy method with patching for rare-event simulation of large Markov chains
Kaynar, Bahar; Ridder, Ad - 2009
which partitions the state space and applies the cross-entropy method to each partition. We investigate two versions of our …
Persistent link: https://www.econbiz.de/10011379128
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Wavelet based sample entropy analysis : a new method to test weak form market efficiency
Kumar, Anoop S.; Kamaiah, Bandi - In: Theoretical and applied economics : GAER review 21 (2014) 8, pp. 19-26
Persistent link: https://www.econbiz.de/10011558026
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Timescale analysis with an entropy-based shift-invariant discrete wavelet transform
Bekiros, Stelios D. - In: Computational economics 44 (2014) 2, pp. 231-251
Persistent link: https://www.econbiz.de/10010438005
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Multiscale lead-lag relationships in oil and refined product return dynamics : a symbolic wavelet transfer entropy approach
Storhas, Dominik P.; De Mello, Lurion; Singh, Abhay Kumar - In: Energy economics 92 (2020), pp. 1-17
Persistent link: https://www.econbiz.de/10012519989