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

Svetunkov, Sergey; Svetunkov, Ivan - 2024

Chapter 1. Introduction to theory of complex variables -- Chapter 2. Simple Complex Linear Regression -- Chapter 3. Correlation analysis of complex random variables -- Chapter 4. Multiple Complex Linear Regression -- Chapter 5. Assumptions of Complex Linear Models -- Chapter 6. Complex Dynamic...

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

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

Gradual switching multivariate regression models with stochastic cross-equational constraints and an application to the KLEM translog production model

Tsurumi, Hiroki; Wago, Hajime; Ilmakunnas, Pekka - 1985

Persistent link: https://www.econbiz.de/10000045049

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