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Forecasting competitors' market share using multivariate linear time series analysis
Kunstek, Rolf - In: The IUP journal of marketing management : IJMM 12 (2013) 2, pp. 7-22
Persistent link: https://www.econbiz.de/10009773134
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A critique on modelling cross-sectional heterogeneity with attribute variables and fixed effects
Friedmann, Ralph (contributor); Glaser, Markus (contributor) - 2000 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001522510
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Forecasting Competitors’ Market Share Using Multivariate Linear Time Series Analysis
Kunstek, Rolf - 2013
The paper presents an approach to forecast competitors' market share in the banking industry. Multivariate linear time series analysis was applied to a state space model with stochastic components. Three time series were interrelated as two exogenous variables and one endogenous variable. The...
Persistent link: https://www.econbiz.de/10013073987
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Does rigidity of prices hide collusion?
Jiménez, Juan Luis; Perdiguero, Jordi - In: Review of industrial organization : RIO 41 (2012) 3, pp. 223-248
Persistent link: https://www.econbiz.de/10009688209
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Ex-post evaluation of mean-variance cartel filters
Ramalho, Matheus Humberto Migliari; Ribeiro, Eduardo Pontual - In: Revista de economia contemporânea : publication of the … 26 (2022), pp. 1-23
Persistent link: https://www.econbiz.de/10014259089
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Selected techniques of detecting structural breaks in financial volatility
Stawiarski, Bartosz - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 1, pp. 32-43
breaks) in the volatility of financial time series. Comparative study of three techniques: ICSS, NPCPM and Cheng's algorithm … breaks in volatility, while Cheng's technique works well only when a single break occurs. …
Persistent link: https://www.econbiz.de/10011393264
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Model uncertainty and forecast combination in high-dimensional multivariate volatility prediction
Amendola, Alessandra; Storti, Giuseppe - In: Journal of forecasting 34 (2015) 2, pp. 83-91
Persistent link: https://www.econbiz.de/10011305317
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Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps
Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013
We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...
Persistent link: https://www.econbiz.de/10010256970
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How can long memory in volatility be eliminated in portfolio optimization : an empirical evidence using copulas
Mzoughi, Hela; Mansouri, Fayçal - In: Journal of quantitative economics : official journal of … 11 (2013) 1/2, pp. 1-14
Persistent link: https://www.econbiz.de/10010338365
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Some stylised facts about the exchange rate behaviour of Central European currencies
Vejmělek, Jan - In: Acta oeconomica Pragensia : vědecký časopis Vysoke … 24 (2016) 2, pp. 3-17
Persistent link: https://www.econbiz.de/10011537495