In this paper we present a forecasting method for time series using copula-based models for multivariate time series. We study how the performance of the predictions evolve when changing the strength of the different possible dependencies, as well as the structure of the dependence. We also look...

Various economic theories are available to explain the existence of credit and default cycles. There remains empirical ambiguity, however, as to whether or these cycles coincide. Recent papers_new suggest by their empirical research set-up that they do, or at least that defaults and credit...

Using Gretl, I apply ARMA, Vector ARMA, VAR, state-space model with a Kalman filter, transfer-function and intervention models, unit root tests, cointegration test, volatility models (ARCH, GARCH, ARCH-M, GARCH-M, Taylor-Schwert GARCH, GJR, TARCH, NARCH, APARCH, EGARCH) to analyze quarterly time...

Outliers are observations that deviate significantly from the norm, and their detection has been a critical topic in various research areas and application domains, such as video surveillance, network intrusion detection, and disease outbreak detection. In recent years, deep learning-based...

We present the R package trajeR which provides all necessary tools to calibrate generalized finite mixture models, plot the results graphically and test the model adequacy.First, we give an overview of the generalized finite mixture model for clustering time series and describe the core function...

Using recent advances in time-varying spectral methods, this research analyses the growth cycles of the core of the euro area in terms of frequency content and phasing of cycles. The methodology uses the continuous wavelet transform (CWT) and also Hilbert wavelet pairs in the setting of a...

This rejoinder highlights some of the differences in the test approach adopted by Fernandez-Macho (2013) in his critique of Leong and Huang (2010) and those commonly found in the literature such as Granger and Newbold(1974), Phillips (1986) and Leong and Huang (2010)

[Update: Within four weeks of the original publication of this research report, Risk Magazine reported in its 28th February 2012 issue story titled 'Goodbye VaR? Basel to Consider Other Risk Metrics': "A review of trading book capital rules, due to be launched in March by the Basel Committee on...

Three models are presented: AR (autoregressive), MA (moving average) and ARMA (autoregressive moving average) are common models used in time series forecasting. These three models are the various definition of each element of the General Linear Model: Y = a + b + c. For the study of linear...