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Time series forecasting using a moving average model for extrapolation of number of tourist

Ivanovski, Zoran; Milenkovski, Ace; Narasanov, Zoran - In: UTMS journal of economics / University of Tourism and … 9 (2018) 2, pp. 121-132

Time series is a collection of observations made at regular time intervals and its analysis refers to problems in correlations among successive observations. Time series analysis is applied in all areas of statistics but some of the most important include macroeconomic and financial time series....

Persistent link: https://www.econbiz.de/10012178433

Regression Models With Mixed Sampling Frequencies

Andreou, Elena; Ghysels, Eric; Kourtellos, Andros - 2012

aggregating or equally weighting data to estimate a model at the same sampling frequency. In addition we provide a new aggregation …

Persistent link: https://www.econbiz.de/10014048108

Estimation with Flexible Probabilities : Identifying Rand Hedges, Finding Diversifiers, Enhancing Style Analysis

Flint, Emlyn James - 2019

inputs within the investment process. It is this estimation step which is ultimately key in transforming raw financial data … into useful investment information. Therefore, having a flexible and robust estimation process is of crucial importance to … different forms of time-conditioning and market state-conditioning into any estimation procedure. This framework allows one to …

Persistent link: https://www.econbiz.de/10012893987

An Efficient, Three-Step Algorithm for Estimating Error-Correction Models with an Application to the U.S. Macroeconomy

Boldin, Michael D. - 1998

This paper describes a three-step algorithm for estimating a system of error-correction equations that can be easily programmed using least-squares procedures. Nonetheless, the algorithm is both statistically and computationally efficient and when iterated gives maximum likelihood estimates of...

Persistent link: https://www.econbiz.de/10014071416

VC - A Method for Estimating Time-Varying Coefficients in Linear Models

Schlicht, Ekkehart - 2020

. A penalized least squares estimation is linked to the GLS (Aitken) estimates of the corresponding linear model with time …

Persistent link: https://www.econbiz.de/10012843151

A probit model for the state of the Greek GDP growth

Degiannakis, Stavros - In: International Journal of Financial Studies : open … 3 (2015) 3, pp. 381-392

The paper provides probability estimates of the state of the GDP growth. A regime-switching model defines the probability of the Greek GDP being in boom or recession. Then probit models extract the predictive information of a set of explanatory (economic and financial) variables regarding the...

Persistent link: https://www.econbiz.de/10011312197

Portfolio allocation for European markets with predictability and parameter uncertainty

Jondeau, Eric; Rockinger, Michael - 2010

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model is calibrated at a quarterly frequency for ten European countries. We also use maximum-likelihood estimates and Bayesian estimates to account for parameter uncertainty. We find...

Persistent link: https://www.econbiz.de/10008797745

Modeling Time Series with Both Permanent and Transient Components Using the Partially Autoregressive Model

Clegg, Matthew - 2015

A time series model is discussed that incorporates both permanent and transient effects. Estimation techniques are …

Persistent link: https://www.econbiz.de/10013029325

On Fitting the Autoregressive Investment Models to Real Financial Data

Medvedev, Gennady - 2009

The successful investment policy is an integral part of successful activity of the insurance company. The return to the shareholders of the insurance company usually thought of as comprising the underwriting result and investment income. The investment income is very important even for an...

Persistent link: https://www.econbiz.de/10013156306

Optimal formulations for nonlinear autoregressive processes

Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014

parameter estimation. The performance of our model in extracting the time-varying or the nonlinear dependence for finite samples … our model for a weekly time series of unemployment insurance claims. …

Persistent link: https://www.econbiz.de/10010390075