Similar Search Results

Regression tree model versus Markov regime switching : a comparison for electricity spot price modelling and forecasting

Samitas, Aristeidis; Armenatzoglou, Aggelos - In: Operational research : an international journal 14 (2014) 3, pp. 319-340

Persistent link: https://www.econbiz.de/10010413087

A stochastic latent moment model for electricity price formation

Gianfreda, Angelica; Bunn, Derek W. - In: Operations research 66 (2018) 5, pp. 1189-1203

Persistent link: https://www.econbiz.de/10011932421

Some exact tests for manifest properties of latent trait models

Gooijer, Jan G. de; Yuan, Ao - 2010 - Version 23 April 2010

Item response theory is one of the modern test theories with applications in educational and psychological testing …

Persistent link: https://www.econbiz.de/10011380175

Regime switching stochastic volatility with skew, fat tails and leverage using returns and realized volatility contemporaneously

Trojan, Sebastian - 2013

Persistent link: https://www.econbiz.de/10010243571

Incorporating realized quarticity into a realized stochastic volatility model

Nugroho, Didit B.; Morimoto, Takayuki - In: Asia-Pacific financial markets 26 (2019) 4, pp. 495-528

Persistent link: https://www.econbiz.de/10012309817

Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution

Takahashi, Makoto; Watanabe, Toshiaki; Omori, Yasuhiro - In: International journal of forecasting 32 (2016) 2, pp. 437-457

Persistent link: https://www.econbiz.de/10011597142

A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks

Pollastri, Alessandro; Rodrigues, Paulo Jorge Maurício; … - In: Journal of empirical finance 70 (2023), pp. 322-341

Persistent link: https://www.econbiz.de/10014423714

A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks

Pollastri, Alessandro; Rodrigues, Paulo Jorge Maurício; … - 2023

Persistent link: https://www.econbiz.de/10014448099

A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks

Pollastri, Alessandro; Rodrigues, Paulo Jorge Maurício; … - 2022 - This version: December 6, 2022

This paper examines continuous-time models for the S&P 100 index and its constituents. We find that the jump process of the typical stock looks significantly different than that of the index. Most importantly, the average size of a jumps in the returns of the typical stock is positive, while it...

Persistent link: https://www.econbiz.de/10013465942

Probability models and robust policy rules

Levine, Paul; McAdam, Peter; Pearlman, Joseph - In: European economic review : EER 56 (2012) 2, pp. 246-262

Persistent link: https://www.econbiz.de/10009521685