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An index of co-movements in financial time series
Sentana, Enrique; Shah, Mushtaq - 1994
Persistent link: https://www.econbiz.de/10000893176
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Predictive analytics on CSI 300 index based on ARIMA and RBF-ANN combined model
Yang, Lyuxun; Cheng, Xi - In: Journal of mathematical finance 5 (2015) 4, pp. 393-400
Persistent link: https://www.econbiz.de/10011439144
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On the use of spectral value decomposition for the construction of composite indices
Farnia, Luca - 2019
High dimensional composite index makes experts' preferences in setting weights a hard task. In the literature, one of … motivates theoretical reasons to derive the weights of the elementary indicators in a composite index when multiple components …
Persistent link: https://www.econbiz.de/10011999119
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A new approach to the evaluation and selection of leading indicators
Gottschling, Andreas; Trimbur, Thomas M. - 1998
Leading indicators are typical constructs used in macroeconomics to guide decision making in several areas of economic activity, including policy formation and long term investment. Researchers often evaluate and select leading indicators on a seemingly ad hoc basis involving OLS regression,...
Persistent link: https://www.econbiz.de/10010504321
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Forecasting ability of a periodic component extracted from large-cap index time series
O'Shea, Michael J. - In: Journal of forecasting 36 (2017) 1, pp. 43-55
Persistent link: https://www.econbiz.de/10011729053
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Structural analysis with Multivariate Autoregressive Index models
Carriero, Andrea; Kapetanios, George; Marcellino, … - In: Journal of econometrics 192 (2016) 2, pp. 332-348
Persistent link: https://www.econbiz.de/10011704654
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Noise reduction in a reputation index
Mitic, Peter - In: International Journal of Financial Studies : open … 6 (2018) 1, pp. 1-18
. It is particularly suited in the context of a reputation index, because small amounts of noise can easily mask more …
Persistent link: https://www.econbiz.de/10011852766
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Value at risk forecasting for volatility index
Park, Seul-Ki; Choi, Ji-Eun; Shin, Dong-wan - In: Applied economics letters 24 (2017) 21, pp. 1613-1620
Persistent link: https://www.econbiz.de/10011853568
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Measuring foreign impact : leading index construction using hierarchical dynamic factor model
Reklaite, Agne - In: Baltic journal of economics 16 (2016) 1, pp. 21-32
In this paper a new method of constructing the leading economic index is presented. Its main advantage is the ability …
Persistent link: https://www.econbiz.de/10011890861
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Malmquist index with time series to data envelopment analysis
Vargas Sánchez, Jhon Jairo - In: Multi-criteria methods and techniques applied to supply …, (pp. 111-130). 2018
Persistent link: https://www.econbiz.de/10011944041