RMetrics

swMATH9991MaRDI QIDQ21968

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Related Items (37)

Testing for Serial Independence: Beyond the Portmanteau Approach ⋮ Inference on the tail process with application to financial time series modeling ⋮ A framework for analyzing the robustness of movement models to variable step discretization ⋮ A Bayesian approach for estimating the parameters of an α-stable distribution ⋮ Combining predictive distributions ⋮ Fast goodness-of-fit tests based on the characteristic function ⋮ MCMC4Extremes: an R package for Bayesian inference for extremes and its extensions ⋮ On automatic bias reduction for extreme expectile estimation ⋮ Fractional Erlang queues ⋮ A new class of independence tests for interval forecasts evaluation ⋮ Specification tests for the error distribution in GARCH models ⋮ Finite-sample properties of estimators for first and second order autoregressive processes ⋮ Nonparametric quantile regression with heavy-tailed and strongly dependent errors ⋮ New independent component analysis tools for time series ⋮ Graphical comparison of normality tests for unimodal distribution data ⋮ A software review for extreme value analysis ⋮ A simple approach to maximum intractable likelihood estimation ⋮ Pairs trading with a mean-reverting jump–diffusion model on high-frequency data ⋮ Statistical arbitrage with vine copulas ⋮ Preprocessing of centred logratio transformed density functions using smoothing splines ⋮ Specification testing in nonparametric AR‐ARCH models ⋮ Blind source separation for compositional time series ⋮ Model selection in sparse high-dimensional vine copula models with an application to portfolio risk ⋮ Semiparametric Time Series Models with Log‐concave Innovations: Maximum Likelihood Estimation and its Consistency ⋮ Estimating and forecasting dynamic correlation matrices: a nonlinear common factor approach ⋮ Fourier inference for stochastic volatility models with heavy-tailed innovations ⋮ Nonparametric density estimation for linear processes with infinite variance ⋮ Stock market forecasting by using a hybrid model of exponential fuzzy time series ⋮ Interval forecasts based on regression trees for streaming data ⋮ On the efficacy of stop-loss rules in the presence of overnight gaps ⋮ Unnamed Item ⋮ A method to estimate power parameter in exponential power distribution via polynomial regression ⋮ Robust analogs to the coefficient of variation ⋮ Testing for correlation between two time series using a parametric bootstrap ⋮ Applied Econometrics with R ⋮ Conditional empirical copula processes and generalized measures of association ⋮ Computational Finance

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