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Forecasting interval-valued crude oil prices using asymmetric interval models
Lu, Quanying; Sun, Yuying; Hong, Yongmiao; Wang, Shouyang - In: Quantitative finance 22 (2022) 11, pp. 2047-2061
Persistent link: https://www.econbiz.de/10013490921
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Forecasting in a changing world : from the great recession to the COVID-19 pandemic
Artemova, Mariia; Blasques, Francisco; Koopman, Siem Jan; … - 2021
We develop a new targeted maximum likelihood estimation method that provides improved forecasting for misspecified linear autoregressive models. The method weighs data points in the observed sample and is useful in the presence of data generating processes featuring structural breaks, complex...
Persistent link: https://www.econbiz.de/10012416341
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A hybrid autoregressive integrated moving average-phGMDH model to forecast crude oil price
Sarpong-Streetor, Richard Manu Nana Yaw; Rajalingam A/L … - In: International Journal of Energy Economics and Policy : IJEEP 9 (2019) 5, pp. 135-141
Persistent link: https://www.econbiz.de/10012425150
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The dynamics of real exchange rates : a reconsideration
Heinen, Florian; Kaufmann, Hendrik; Sibbertsen, Philipp - 2011
While it is widely agreed that Purchasing Power Parity (PPP) holds as a long-run concept the specific dynamic driving the process is largely build upon a priori economic belief rather than a thorough statistical modeling procedure. The two prevailing time series models, i.e. the exponential...
Persistent link: https://www.econbiz.de/10008908972
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Non-linearities in the dynamics of oil prices
Kisswani, Khalid M.; Nusair, Salah - In: Energy economics 36 (2013), pp. 341-353
Persistent link: https://www.econbiz.de/10009724688
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The dynamics of real exchange rates : a reconsideration
Kaufmann, Hendrik; Heinen, Florian; Sibbertsen, Philipp - In: Journal of applied econometrics 29 (2014) 5, pp. 758-773
Persistent link: https://www.econbiz.de/10010414852
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Testing the null hypothesis of nonstationary long memory against the alternative hypothesis of a nonlinear ergodic model
Kapetanios, George; Shin, Yongcheol - In: Econometric reviews 30 (2011) 6, pp. 620-645
Persistent link: https://www.econbiz.de/10009269801
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Klassifikation und Analyse finanzwirtschaftlicher Zeitreihen mit Hilfe von fraktalen Brownschen Bewegungen
Hafner, Michael - 2005
Persistent link: https://www.econbiz.de/10002553526
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Autokorrelationen in der historischen Simulation : Analyse der autokorrelationsarmen Abbildung von Zinsänderungsrisiken
Boka, Noel - 2018
Konzepte der barwertigen Zinsrisikomessung -- Determinanten der Autokorrelation in der historischen Simulation … -- Autokorrelation unter Verwendung unterschiedlicher Zinskurven und Vorgehensweisen -- Analyse der Prognosegüte vor dem Hintergrund …. Der Inhalt Konzepte der barwertigen Zinsrisikomessung Determinanten der Autokorrelation in der historischen Simulation …
Persistent link: https://www.econbiz.de/10014018639
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Oil price volatility forecasting : threshold effect from stock market volatility
Chen, Yan; Qiao, Gaoxiu; Zhang, Feipeng - In: Technological forecasting & social change : an … 180 (2022), pp. 1-8
Persistent link: https://www.econbiz.de/10013429265