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Random matrix approach to correlation matrix of financial data : (Mexican stock market case)
Casillas González, Juan Martín; Torres, Antonio Alatorre - In: Modern economy 6 (2015) 9, pp. 1033-1042
Persistent link: https://www.econbiz.de/10011441589
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Extended Yule-Walker identification of Varma models with single- or mixed-frequency data
Zadrosny, Peter A. - 2016
Persistent link: https://www.econbiz.de/10011539924
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Extended Yule-Walker identification of Varma models with single- or mixed frequency data
Zadrozny, Peter A. - 2015
Chen and Zadrozny (1998) developed the linear extended Yule-Walker (XYW) method for determining the parameters of a vector autoregressive (VAR) model with available covariances of mixed-frequency observations on the variables of the model. If the parameters are determined uniquely for available...
Persistent link: https://www.econbiz.de/10011411362
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Extended Yule-Walker identification of Varma models with single- or mixed-frequency data
Zadrozny, Peter A. - 2016
Chen and Zadrozny (1998) developed the linear extended Yule-Walker (XYW) method for determining the parameters of a vector autoregressive (VAR) model with available covariances of mixed-frequency observations on the variables of the model. If the parameters are determined uniquely for available...
Persistent link: https://www.econbiz.de/10011459174
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Structured low-rank matrix completion for forecasting in time series analysis
Gillard, Jonathan; Usevich, Konstantin - In: International journal of forecasting 34 (2018) 4, pp. 582-597
Persistent link: https://www.econbiz.de/10012031043
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Testing against changing correlation
Harvey, Andrew C.; Thiele, Stephen - 2014
Persistent link: https://www.econbiz.de/10010504846
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On spectral distribution of high dimensional covariation matrices
Heinrich, Claudio; Podolskij, Mark - 2014
Persistent link: https://www.econbiz.de/10010442408
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Extended Yule-Walker identification of VARMA models with single- or mixed-frequency data
Zadrozny, Peter A. - In: Journal of econometrics 193 (2016) 2, pp. 438-446
Persistent link: https://www.econbiz.de/10011704992
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Spectral methods for growth curve clustering
Majstorović, Snježana; Sabo, Kristian; Jung, Johannes; … - In: Central European journal of operations research : CEJOR … 26 (2018) 3, pp. 715-737
Persistent link: https://www.econbiz.de/10011898388
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Tests for high-dimensional covariance matrices
Chen, Song Xi; Zhang, Li-xin; Zhong, Ping-shou - In: Journal of the American Statistical Association : JASA 105 (2010) 490, pp. 810-819
Persistent link: https://www.econbiz.de/10008736837