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A result on the covariance matrix of a stationary AR process

Persson, Mats - 1979

Persistent link: https://www.econbiz.de/10002624987

Hybridization of ARIMA with learning models for forecasting of stock market time series

Pokou, Frédy; Kamdem, Jules Sadefo; Benhmad, François - In: Computational economics 63 (2024) 4, pp. 1349-1399

Persistent link: https://www.econbiz.de/10014549025

Pattern recognition in microtrading behaviors preceding stock price jumps : a study based on mutual information for multivariate time series

Kong, Ao; Azencott, Robert; Zhu, Hongliang; Li, Xindan - In: Computational economics 63 (2024) 4, pp. 1401-1429

Persistent link: https://www.econbiz.de/10014549027

Latent variable analysis and partial correlation graphs for multivariate time series

Fried, Roland; Didelez, Vanessa - 2003

We investigate the possibility of exploiting partial correlation graphs for identifying interpretable latent variables underlying a multivariate time series. It is shown how the collapsibility and separation properties of partial correlation graphs can be used to understand the relation between...

Persistent link: https://www.econbiz.de/10010306285

Non-linearities and fractional integration in the US unemployment rate

Caporale, Guglielmo Maria - 2004

Persistent link: https://www.econbiz.de/10013430575

Likelihood analysis of seasonal cointegration

Johansen, Søren - 1997

Persistent link: https://www.econbiz.de/10013420119