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On the influence of autocorrelation and GARCH-effects on goodness-of-fit tests for copulas
Garmann, Sebastian; Grundke, Peter - In: The European journal of finance 19 (2013) 1/2, pp. 75-88
Persistent link: https://www.econbiz.de/10009733297
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Phase II monitoring of auto-correlated linear profiles using linear mixed model
Narvand, A.; Soleimani, P.; Raissi, Sadigh - In: Journal of industrial engineering international 9 (2013), pp. 1-9
mixed models to account autocorrelation within observations which is gathered on phase II of the monitoring process. We …
Persistent link: https://www.econbiz.de/10009782421
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COVID-19 pandemic and Romanian stock market volatility : a GARCH approach
Gherghina, Ștefan Cristian; Armeanu, Daniel Ștefan; … - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-29
This paper investigates the volatility of daily returns on the Romanian stock market between January 2020 and April 2021. Volatility is analyzed by means of the representative index for Bucharest Stock Exchange (BSE), namely, the Bucharest Exchange Trading (BET) index, along with twelve...
Persistent link: https://www.econbiz.de/10012626337
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Estimation of value-at-Risk on Romanian stock exchange using volatility forecasting models
Opreana, Claudiu Ilie - In: Expert journal of finance 1 (2013), pp. 4-18
Persistent link: https://www.econbiz.de/10011572395
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Monitoring multistage processes with autocorrelated observations
Kim, Jinho; Jeong, Myong K.; Elsayed, Elsayed A. - In: International journal of production research 55 (2017) 7/8, pp. 2385-2396
Persistent link: https://www.econbiz.de/10011648619
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Moment estimators for autocorrelated time series and their application to default correlations
Frei, Christoph; Wunsch, Marcus - In: The journal of credit risk : published quarterly by … 14 (2018) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10011885453
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Benchmark forecast and error modeling
Chen, Zhao-Guo; Wu, Ka Ho - In: Journal of forecasting 36 (2017) 4, pp. 382-394
Persistent link: https://www.econbiz.de/10011860451
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Comparative study on the use of statistical methods for the distribution of autocorrelation to any influence factor
Merce, Cristian; Drăghici, Manea; Merce, Emilian; … - In: Agrarian economy and rural development : realities and …, (pp. 58-63). 2019
based on the principle of proportional distribution of autocorrelation with the coefficients of simple determination, and …
Persistent link: https://www.econbiz.de/10012212443
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Statistical properties of microstructure noise
Jacod, Jean; Li, Yingying; Zheng, Xinghua - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 4, pp. 1133-1174
Persistent link: https://www.econbiz.de/10011791234
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ARFURIMA models: simulations of their properties and application
Jibrin, Sanusi Alhaji; Rahman, Rosmanjawati Abdul - In: Statistics in transition : an international journal of … 23 (2022) 2, pp. 69-87
This article defines the Autoregressive Fractional Unit Root Integrated Moving Average (ARFURIMA) model for modelling ILM time series with fractional difference value in the interval of 1൏𝑑൏2. The performance of the ARFURIMA model is examined through a Monte Carlo simulation. Also, some...
Persistent link: https://www.econbiz.de/10013419429