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Financial Econometrics - R Tutorial Guidance

Wang, Yizhi; Vigne, Samuel - 2021

This is an R tutorial book for Financial Econometrics …

Persistent link: https://www.econbiz.de/10013223934

Forecasting Indian Stock Market Index Using Singular Spectrum Analysis : A Comparison with ARIMA and Artificial Neural Network

Shukla, Suwarna - 2017

In this paper we focus on analyzing the predictive accuracy of three different types of forecasting techniques, Autoregressive Integrated Moving Average (ARIMA), Artificial Neural Network (ANN), and Singular Spectral Analysis (SSA), used for predicting chaotic time series data. These techniques...

Persistent link: https://www.econbiz.de/10012947889

A Three-Pole Filter Understanding of the Average Value of a Fourier Series and Comparison with Hodrick-Prescott Filter

Minskya, Ksovim - 2016

This paper develops a method of analyzing average value of a complex-valued function that can be represented as a Fourier series satisfying a few realistic restrictions. This method may be useful when Discrete Fourier transform is highly inefficient, and comparison with Hodrick-Prescott filter...

Persistent link: https://www.econbiz.de/10014127062

A Geometrical Approach to Structural Change Modeling

Stijepic, Denis - 2014

We propose a model for studying the dynamics of economic structures. The model is based on qualitative information regarding structural dynamics, in particular, (a) the information on the geometrical properties of trajectories (and their domains) which are studied in structural change theory and...

Persistent link: https://www.econbiz.de/10013056759

Random Matrix Theory and Macro-Economic Time-Series : An Illustration Using the Evolution of Business Cycle Synchronisation, 1886-2006

Ormerod, Paul - 2011

The aim of this paper is to show that random matrix theory (RMT) can be a useful addition to the economist?s tool-kit in the analysis of macro-economic time series data. A great deal of applied economic work relies upon empirical estimates of the correlation matrix. However due to the finite...

Persistent link: https://www.econbiz.de/10013132141

Short-memory linear processes and econometric applications

Mynbaev, Kairat T. - 2011

Intro to operators, probabilities, and linear model -- Lp-approximable sequences of vectors -- Convergence of linear and quadratic forms -- Regressions with slowly varying regressors -- Spatial models -- Convergence almost everywhere -- Nonlinear models -- Tools for vector autoregressions

Persistent link: https://www.econbiz.de/10009130959

Time Series Econometrics : Learning Through Replication

Levendis, John D. - 2023 - 2nd ed. 2023.

-proof approach as much as possible, and emphasizes the practical application of econometrics. They show with examples how to … find the book useful. “How to best start learning time series econometrics? Learning by doing. This is the ethos of this …, no-nonsense, practical approach that students will love when they start learning time series econometrics. I recommend …

Persistent link: https://www.econbiz.de/10014443465

Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development

Matteo, T. Di; Aste, T.; Dacorogna, Michel M. - EconWPA - 2005

The scaling properties encompass in a simple analysis many of the volatility characteristics of financial markets. That is why we use them to probe the different degree of markets development. We empirically study the scaling properties of daily Foreign Exchange rates, Stock Market indices and...

Persistent link: https://www.econbiz.de/10005119145

An evaluation of energy-environment-economic efficiency for EU, APEC and ASEAN countries : designof a Target-Oriented DFM model with fixedfactors in Data Envelopment Analysis

Suzuki, Soushi; Nijkamp, Peter - 2015

This paper aims to offer an advanced assessment methodology for sustainable national energy-environment-economic efficiency strategies, based on an extended Data Envelopment Analysis (DEA) in which distinct countries are regarded as Decision Making Units (DMUs). The aim is to show how much...

Persistent link: https://www.econbiz.de/10011483670

Financial markets as a complex system : a short time scale perspective

Marschinski, Robert; Matassini, Lorenzo - 2001

In this paper we want to discuss macroscopic and microscopic properties of financial markets. By analyzing quantitatively a database consisting of 13 minute per minute recorded financial time series, we identify some macroscopic statistical properties of the corresponding markets, with a special...

Persistent link: https://www.econbiz.de/10010504303

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