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Multiresolution transmission of the correlation modes between bivariate time series based on complex network theory
Huang, Xuan; An, Haizhong; Gao, Xiangyun; Hao, Xiaoqing; … - In: Physica A: Statistical Mechanics and its Applications 428 (2015) C, pp. 493-506
This study introduces an approach to study the multiscale transmission characteristics of the correlation modes between bivariate time series. The correlation between the bivariate time series fluctuates over time. The transmission among the correlation modes exhibits a multiscale phenomenon,...
Persistent link: https://www.econbiz.de/10011209683
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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 models based on data analytics for predicting rice price volatility : a case study of the Sri Lankan rice market
Hathurusingha, Chanchala; Abdelhamid, Neda; Airehrour, David - In: Journal of information & knowledge management : JIKM 18 (2019) 1, pp. 1950006-1-1950006-20
Persistent link: https://www.econbiz.de/10012027153
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Cryptocurrencies and long-range trends
Alexiadou, Monica; Sofianos, Emmanouil; Gkonkas, Periklēs - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-17
In this study we investigate possible long-range trends in the cryptocurrency market. We employed the Hurst exponent in a sample covering the period from 1 January 2016 to 26 March 2021. We calculated the Hurst exponent in three non-overlapping consecutive windows and in the whole sample. Using...
Persistent link: https://www.econbiz.de/10014279894
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Uncovering hidden insights with long-memory process detection : an in-depth overview
Hassani, Hossein; Yarmohammadi, Masoud; Marvian, Leila - In: Risks : open access journal 11 (2023) 6, pp. 1-15
using the sample autocorrelation function (ACF) to identify long-memory processes. While the ACF establishes the theoretical …
Persistent link: https://www.econbiz.de/10014335857
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Oil prices as a driving force in the diffusion of renewables?
Kehrel, Uwe; Sick, Nathalie - In: International journal of energy sector management : IJESM 9 (2015) 2, pp. 227-250
Persistent link: https://www.econbiz.de/10011349009
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An inquiry into the structure and dynamics of crude oil price using the fast iterative filtering algorithm
Piersanti, Giovanni; Piersanti, Mirko; Cicone, Antonio; … - In: Energy economics 92 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012519649
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Crude oil price point forecasts of the Norwegian GDP growth rate
Nonejad, Nima - In: Empirical economics : a quarterly journal of the … 61 (2021) 5, pp. 2913-2930
Persistent link: https://www.econbiz.de/10012664660
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Forecasting U.S. real GDP using oil prices : a time-varying parameter MIDAS model
Pan, Zhiyuan; Wang, Qing; Wang, Yudong; Li, Yang - In: Energy economics 72 (2018), pp. 177-187
Persistent link: https://www.econbiz.de/10011972301
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Modeling persistence and parameter instability in historical crude oil price data using a gibbs sampling approach
Nonejad, Nima - In: Computational economics 53 (2019) 4, pp. 1687-1710
Persistent link: https://www.econbiz.de/10012135601