Found 236 Documents (Results 1–100)
Fin-GAN: forecasting and classifying financial time series via generative adversarial networks. (English) Zbl 1537.91305
Asymptotic inference in the random coefficient autoregressive model with time-functional variance noises. (English) Zbl 07835594
Quasi-maximum likelihood inference for linear double autoregressive models. (English) Zbl 07832542
MSC:
62-XX
A Bayesian estimation of bivariate GARCH-M models. (Spanish. English summary) Zbl 07810078
Application of extreme value theory for maximum rainfall at Nakhon Ratchasima Province. (English) Zbl 07829885
Multi-threshold structural equation model. (English) Zbl 1531.62198
MSC:
62P20
Stationarity and ergodic properties for some observation-driven models in random environments. (English) Zbl 1538.60165
Multi-period power utility optimization under stock return predictability. (English) Zbl 07778008
MSC:
90Bxx
A unit root test for an AR(1) process with AR errors by using random weighted bootstrap. (English) Zbl 07753785
Bayesian analysis of spherically parameterized dynamic multivariate stochastic volatility models. (English) Zbl 07732386
MSC:
62-08
Constraint-based and hybrid structure learning of multidimensional continuous-time Bayesian network classifiers. (English) Zbl 07713741
MSC:
68T37
Signal decomposition using masked proximal operators. (English) Zbl 1508.94029
Reviewer: Yuehua Wu (Toronto)
MSC:
94A12
A Bayesian analysis based on multivariate stochastic volatility model: evidence from Green stocks. (English) Zbl 1507.91214
J. Comb. Optim. 45, No. 1, Paper No. 19, 14 p. (2023); retraction note ibid. 47, No. 3, Paper No. 42, 1 p. (2024).
Numerical characteristics and parameter estimation of finite mixed generalized normal distribution. (English) Zbl 1497.62050
Testing stationarity of the detrended price return in stock markets. (English) Zbl 07483618
MSC:
82-XX
Deviation measure in second-order stochastic dominance with an application to enhanced indexing. (English) Zbl 07768700
MSC:
90-XX
ECM algorithm for estimating vector ARMA model with variance gamma distribution and possible unbounded density. (English) Zbl 1521.62198
New extreme value theory for maxima of maxima. (English) Zbl 07660274
MSC:
62-XX
Analysis of autocorrelation function of stochastic processes by F-transform of higher degree. (English) Zbl 1498.62168
Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages. (English) Zbl 1480.91276
A test for strict stationarity in a random coefficient autoregressive model of order 1. (English) Zbl 1473.62075
Stochastic decomposition for two-stage stochastic linear programs with random cost coefficients. (English) Zbl 07362303
MSC:
90Cxx
Longevity Greeks: what do insurers and capital market investors need to know? (English) Zbl 1465.91099
Reviewer: Pavel Stoynov (Sofia)
Convergence of covariance and spectral density estimates for high-dimensional locally stationary processes. (English) Zbl 1461.62165
Power and thick tails: an ARCH process example with extreme value as test statistic. (English) Zbl 07552592
MSC:
62-XX
The probabilistic support Kendall correlation and its transitivity properties. (English) Zbl 07549046
MSC:
62-XX
Tail Granger causalities and where to find them: extreme risk spillovers vs spurious linkages. (English) Zbl 1478.62312
Robust mean-variance portfolio through the weighted \(L^p\) depth function. (English) Zbl 1455.91240
Reviewer: Yuliya S. Mishura (Kyïv)
Statistical estimation of operating reserve requirements using rolling horizon stochastic optimization. (English) Zbl 1456.90116
Improving forecasts of the EGARCH model using artificial neural network and fuzzy inference system. (English) Zbl 1497.62242
Generalized autoregressive conditional heteroskedastic model to examine silver price volatility and its macroeconomic determinant in Ethiopia market. (English) Zbl 1445.62308
Market attention and Bitcoin price modeling: theory, estimation and option pricing. (English) Zbl 1444.91208
Dependent microstructure noise and integrated volatility estimation from high-frequency data. (English) Zbl 1456.62253
Estimation of volatility causality in structural autoregressions with heteroskedasticity using independent component analysis. (English) Zbl 1437.62332
Nudging the particle filter. (English) Zbl 1436.62447
A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market. (English) Zbl 1430.90176
A bivariate infinitely divisible law for modeling the magnitude and duration of monotone periods of log-returns. (English) Zbl 07788775
Multiscale statistical behaviors for Ising financial dynamics with continuum percolation jump. (English) Zbl 07565844
MSC:
82-XX
Random coefficient autoregressive processes and the PUCK model with fluctuating potential. (English) Zbl 1539.82099
Quasi-maximum likelihood estimation of GARCH models in the presence of missing values. (English) Zbl 07193725
Bayesian model calibration and optimization of surfactant-polymer flooding. (English) Zbl 1427.65431
Forecasting market states. (English) Zbl 1420.91553
Machine learning using R. With time series and industry-based use cases in R. 2nd edition. (English) Zbl 1423.68007
New York, NY: Apress (ISBN 978-1-4842-4214-8/pbk; 978-1-4842-4215-5/ebook). xxiv, 700 p. (2019).
Reviewer: Irina Ioana Mohorianu (Oxford)
Estimating a covariance matrix for market risk management and the case of credit default swaps. (English) Zbl 1407.91231
Quantile forecasts for financial volatilities based on parametric and asymmetric models. (English) Zbl 1417.37296
Reviewer: Tak Kuen Siu (Sydney)
Multiscale multifractal DCCA and complexity behaviors of return intervals for Potts price model. (English) Zbl 1514.91219
A Bayesian encompassing test using combined value-at-risk estimates. (English) Zbl 1400.91670
MSC:
91G70
A successive linear programming algorithm with non-linear time series for the reservoir management problem. (English) Zbl 1397.90208
Mixed \(\ell_2\) and \(\ell_1\)-norm regularization for adaptive detrending with ARMA modeling. (English) Zbl 1393.93084
A stochastic program with time series and affine decision rules for the reservoir management problem. (English) Zbl 1403.90672
Permutation entropy analysis based on Gini-Simpson index for financial time series. (English) Zbl 1499.91066
Impact of value-at-risk models on market stability. (English) Zbl 1401.91590
MSC:
91G80
91B30
On the risk prediction and analysis of soft information in finance reports. (English) Zbl 1395.91516
Jump-detection-based estimation in time-varying coefficient models and empirical applications. (English) Zbl 1373.62168
Modeling volatility using state space models with heavy tailed distributions. (English) Zbl 1527.91121
Modified generalized sample entropy and surrogate data analysis for stock markets. (English) Zbl 1510.91194
MSC:
91G70
Inferences in stochastic volatility models: a new simpler way. (English) Zbl 1407.62329
Sutradhar, Brajendra C. (ed.), Advances and challenges in parametric and semi-parametric analysis for correlated data. Proceedings of the 2015 international symposium in statistics, ISS 2015, St. John’s, Canada, July 6–8, 2015. Cham: Springer. Lect. Notes Stat. 218, 97-131 (2016).
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