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The value of weather information for e-commerce operations
Steinker, Sebastian; Hoberg, Kai; Thonemann, Ulrich - In: Production and operations management : an international … 26 (2017) 10, pp. 1854-1874
Persistent link: https://www.econbiz.de/10011778038
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Construction of an SDE model from intraday copper futures prices
Mastroeni, Loretta; Vellucci, Pierluigi - In: Risks : open access journal 10 (2022) 11, pp. 1-21
This paper introduces a model for intraday copper futures prices based on a stochastic differential equation (SDE). In particular, we derive an SDE that fits the model to the data and that is based on the whitening filter approach, a method characterizing linear time-variant systems. This method...
Persistent link: https://www.econbiz.de/10014228905
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The correlation integral and the independence of Gaussian and related processes
Dechert, W. Davis - 1994 - Rev
Persistent link: https://www.econbiz.de/10000896409
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Sharing stochastic trends
Pellegrini, Guido - 1992 - Rev
Persistent link: https://www.econbiz.de/10000861948
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A time series model with periodic stochastic regime switching
Ghysels, Eric - 1993
Persistent link: https://www.econbiz.de/10000865918
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Testing the null hypothesis of stationarity against the alternative of a unit root : how sure are we that economic time series have a unit root?
Kwiatkowski, Denis E.; Phillips, Peter C. B.; Schmidt, Peter - 1991
Persistent link: https://www.econbiz.de/10000828125
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Heteroscedasticity in non-stationary time series : some Monte Carlo evidence
Haldrup, Niels - 1992
Persistent link: https://www.econbiz.de/10000842147
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A note on the normalized residuals from ARCH and stochastic volatility models
Nelson, Daniel B. - 1990 - Rev
Persistent link: https://www.econbiz.de/10000809491
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Estimation of continuous-time models in finance
Melino, Angelo - 1991
Persistent link: https://www.econbiz.de/10000815348
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A consistent test for the null of stationarity against the alternative of a unit root
Kahn, James A.; Ōgaki, Masao - 1991
Persistent link: https://www.econbiz.de/10000826504