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Ferris, John Stephen; Voia, Marcel-Christian - In: Economic modelling 49 (2015), pp. 172-185

Persistent link: https://www.econbiz.de/10011439524

Jump variation estimation with noisy high frequency financial data via wavelets

Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics : open access journal 4 (2016) 3, pp. 1-26

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component of volatility in finance for portfolio allocation,...

Persistent link: https://www.econbiz.de/10011568279

Content estimation for electricity prices : procedures and comparisons

Lisi, Francesco; Nan, Fany - In: Energy economics 44 (2014), pp. 143-159

Persistent link: https://www.econbiz.de/10010457231

Nonparametric wind power forecasting under fixed and random censoring

Dahl, Christian M.; Effraimidis, Georgios; Pedersen, … - In: Energy economics 84 (2019), pp. 1-13

Persistent link: https://www.econbiz.de/10012182788

Convolutional autoregressive models for functional time series

Liu, Xialu; Xiao, Han; Chen, Rong - In: Journal of econometrics 194 (2016) 2, pp. 263-282

Persistent link: https://www.econbiz.de/10011705137

Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD

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Local prediction pools

Oelrich, Oscar; Villani, Mattias; Ankargren, Sebastian - In: Journal of forecasting 43 (2024) 1, pp. 103-117

Persistent link: https://www.econbiz.de/10014443187

Improved output gap estimates and forecasts using a local linear regression

Fritz, Marlon - In: International economics : a journal published by CEPII … 172 (2022), pp. 157-167

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Empirical probabilistic forecasting : an approach solely based on deterministic explanatory variables for the selection of past forecast errors

Romanus, Eduardo E.; Silva, Eugênio; Goldschmidt, … - In: International journal of forecasting 40 (2024) 1, pp. 184-201

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Application of time series analysis and modern control theory to the cement plant

Hagimura, S.; Saitoh, T.; Yagihara, Y. - In: Annals of the Institute of Statistical Mathematics 40 (1988) 3, pp. 419-438

Persistent link: https://www.econbiz.de/10005395690