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Clustering Financial Time Series by Network Community Analysis
Piccardi, Carlo - 2011
recently developed approach for partitioning the nodes of a network (graph). A network with N nodes is associated to the set of … context of financial time series. Then, searching for network communities allows one to identify groups of nodes (and then …
Persistent link: https://www.econbiz.de/10013121909
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Complexity traits and synchrony of cryptocurrencies price dynamics
Provenzano, Davide; Baggio, Rodolfo - In: Decisions in economics and finance : a journal of … 44 (2021) 2, pp. 941-955
Persistent link: https://www.econbiz.de/10012795024
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Smooth marginalized particle filters for dynamic network effect models
Wang, Dieter; Schaumburg, Julia - 2020
We propose the dynamic network effect (DNE) model for the study of high-dimensional multivariate time series data … of latent stochastic network effects. The parameter-driven, nonlinear state-space model requires simulation …-section dimension is large and the network is dense. An empirical application on the spread of the COVID-19 pandemic through …
Persistent link: https://www.econbiz.de/10012214446
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Trend analysis of global stock market linkage based on a dynamic conditional correlation network
Kedong, Yin; Liu, Zhe; Liu, Peide - In: Journal of business economics and management 18 (2017) 4, pp. 779-800
Persistent link: https://www.econbiz.de/10011780777
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Time-Varying Network Vector Autoregression Model
Wu, Boyao - 2020
In this paper, we study the time-varying network vector autoregression (TV-NVAR) model. Constituting an ultra …
Persistent link: https://www.econbiz.de/10012846639
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A simple categorical chart for detecting location shifts with ordinal information
Li, Jiang; Tsung, Fugee; Zou, Changliang - In: International journal of production research 52 (2014) 2, pp. 550-562
Persistent link: https://www.econbiz.de/10010249784
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Forecasting supply chain sporadic demand with nearest neighbor approaches
Nikolopoulos, Konstantinos; Babai, M. Zied; Bozos, … - In: International journal of production economics 177 (2016), pp. 139-148
Persistent link: https://www.econbiz.de/10011503375
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On a Multinomial Logistic Mixture Autoregressive Processes
Wen, Musen - 2014
We propose a brand new class of time series model and analyze its statistical properties and estimation method. We demonstrated that the model is able to successfully model and forecast the high frequency stock prices
Persistent link: https://www.econbiz.de/10013044448
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A condition monitoring approach for real-time monitoring of degrading systems using Kalman filter and logistic regression
Skordilis, E.; Moghaddass, R. - In: International journal of production research 55 (2017) 19/20, pp. 5579-5596
Persistent link: https://www.econbiz.de/10011724131
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Logistic function as a tool of planning
Rządkowski, Grzegorz; Głażewska, Iwona; Sawińska, … - In: Foundations of Management : the journal of Warsaw … 6 (2014) 1, pp. 57-70
In the present paper, we propose a new approach to investigate the logistic function, which is commonly used in mathematical models in economics and management. The approach is based on indicating in a given time series, having a logistic trend, some characteristic points corresponding to zeroes...
Persistent link: https://www.econbiz.de/10011855236