StFinMetrics

swMATH29976MaRDI QIDQ41690FDOQ41690

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Cited In (46)

• On testing for causality in variance between two multivariate time series
• Multiscale statistical behaviors for Ising financial dynamics with continuum percolation jump
• Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models
• Jump detection in high-frequency financial data using wavelets
• Context-aware spatio-temporal event prediction via convolutional Hawkes processes
• An Extension of Spatial Dependence Models for Estimating Short-Term Temperature Portfolio Risk
• Time series interpolation via global optimization of moments fitting
• Granger causality and path diagrams for multivariate time series
• Assessment of dependent risk using extreme value theory in a time-varying framework
• Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes
• Dynamic principal component regression for forecasting functional time series in a group structure
• Interpreting self-organizing maps through space-time data models
• The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics
• Grouped multivariate and functional time series forecasting: an application to annuity pricing
• A new approach to Value-at-Risk: GARCH-TSLx model with inference
• Slope influence diagnostics in conditional heteroscedastic time series models
• Book review of: E. Zivot and J. Wang, Modeling financial time series with S-PLUS.
• Generalized moment estimation of stochastic differential equations
• Multiscale multifractal DCCA and complexity behaviors of return intervals for Potts price model
• Modeling Financial Time Series with S-PLUS®
• Constrained smoothing \(B\)-splines for the term structure of interest rates
• Using multiple time series analysis for geosensor data forecasting
• Multi-population modelling and forecasting life-table death counts
• Analysis of telecom service operation behavior with time series
• Random Forest Variable Selection for Sparse Vector Autoregressive Models
• Nonlinear multi-analysis of agent-based financial market dynamics by epidemic system
• Stochastic Filtering Methods in Electronic Trading
• Time-varying forecasts by variational approximation of sequential Bayesian inference
• Estimation and testing linearity for non-linear mixed Poisson autoregressions
• Dispatch planning using newsvendor dual problems and occupation times: application to hydropower
• Numerical analysis for finite-range multitype stochastic contact financial market dynamic systems
• On estimation in conditional heteroskedastic time series models under non-normal distribu\-tions
• A variational expectation-maximization algorithm for temporal data clustering
• Inferring Influence Networks from Longitudinal Bipartite Relational Data
• Dynamic relationship analysis between NAFTA stock markets using nonlinear, nonparametric, non-stationary methods
• Feature extraction for functional time series: theory and application to NIR spectroscopy data
• Economic fluctuations and fiscal policy in Europe: a political business cycles approach using panel data and clustering (1996--2013)
• The ARMA alphabet soup: a tour of ARMA model variants
• Discussion: Statistical models and methods for dependence in insurance data
• Modeling mortality with a Bayesian vector autoregression
• A wavelet-based variance ratio unit root test for a system of equations
• Re-specification of Affine Term Structure Models: The Linkage to Empirical Investigations
• Nonparametric Anomaly Detection on Time Series of Graphs
• Distributional analysis of empirical volatility in GARCH processes
• Influential nodes and anomalous topic activities in social networks using multivariate time series and topic modeling
• VAR model based clustering method for multivariate time series data

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