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NNPF : Neural Network Particle Filter for time series data
Peerlings, Dewi; Brakel, Jan A. van den; Baştürk, Nalan - 2024
Persistent link: https://www.econbiz.de/10014524761
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Strict stationarity, persistence and volatility forecasting in ARCH (∞) processes
Davidson, James E. H.; Li, Xiaoyu - In: Journal of empirical finance 38 (2016), pp. 534-547
Persistent link: https://www.econbiz.de/10011663340
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A bootstrap stationarity test for predictive regression invalidity
Georgiev, Iliyan; Harvey, David I.; Leybourne, Stephen James - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 3, pp. 528-541
Persistent link: https://www.econbiz.de/10012178194
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Decoupling the short- and long-term behavior of stochastic volatility
Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S. - In: Journal of financial econometrics 20 (2022) 5, pp. 961-1006
Persistent link: https://www.econbiz.de/10013460035
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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
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Forecasting electricity price in Colombia : a comparison between neural network, ARMA process and hybrid models
Barrientos, Jorge Hugo; Orozco, Elkin Tabares; Velilla, … - In: International Journal of Energy Economics and Policy : IJEEP 8 (2018) 3, pp. 97-106
Persistent link: https://www.econbiz.de/10011881289
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Prediction for big data through Kriging : small sequential and one-shot designs
Kleijnen, Jack P. C.; Beers, Wim C. M. van - 2018
Persistent link: https://www.econbiz.de/10011872235
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Neural stochastic differential equations for conditional time series generation using the Signature-Wasserstein-1 metric
Díaz Lozano, Pere; Lozano Bagén, Toni; Vives, Josep - In: The journal of computational finance : JFC 27 (2023) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10014486922
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Deep neural networks, gradient-boosted trees, random forests : statistical arbitrage on the S&P 500
Krauss, Christopher; Do, Xuan Anh; Huck, Nicolas - In: European journal of operational research : EJOR 259 (2017) 2, pp. 689-702
Persistent link: https://www.econbiz.de/10011661795
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Modelling cross-dependencies between Spain's regional tourism markets with an extension of the Gaussian process regression model
Claveria, Oscar; Monte, Enric; Torra, Salvador - In: SERIEs : Journal of the Spanish Economic Association 7 (2016) 3, pp. 341-357
This study presents an extension of the Gaussian process regression model for multiple-input multiple-output forecasting. This approach allows modelling the cross-dependencies between a given set of input variables and generating a vectorial prediction. Making use of the existing correlations in...
Persistent link: https://www.econbiz.de/10011537542