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Статті в журналах з теми "Vector autoregressive process"
Tovstik, T. M. "Vector autoregression process. Stationarity and simulation." Journal of Physics: Conference Series 2099, no. 1 (November 1, 2021): 012068. http://dx.doi.org/10.1088/1742-6596/2099/1/012068.
Повний текст джерелаCheng, Tsung-Chi, Ping-Hung Hsieh, and Su-Fen Yang. "Process Control for the Vector Autoregressive Model." Quality and Reliability Engineering International 30, no. 1 (December 17, 2012): 57–81. http://dx.doi.org/10.1002/qre.1477.
Повний текст джерелаGrynkiv, Galyna, and Lars Stentoft. "Stationary Threshold Vector Autoregressive Models." Journal of Risk and Financial Management 11, no. 3 (August 5, 2018): 45. http://dx.doi.org/10.3390/jrfm11030045.
Повний текст джерелаBrockwell, Peter J., Richard A. Davis, and A. Alexandre Trindade. "Asymptotic properties of some subset vector autoregressive process estimators." Journal of Multivariate Analysis 90, no. 2 (August 2004): 327–47. http://dx.doi.org/10.1016/j.jmva.2003.10.001.
Повний текст джерелаBodnar, T., and T. Zabolotskyy. "Estimation and inference of the vector autoregressive process under heteroscedasticity." Theory of Probability and Mathematical Statistics 83 (2011): 27–45. http://dx.doi.org/10.1090/s0094-9000-2012-00839-9.
Повний текст джерелаGourieroux, Christian, and Joann Jasiak. "Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation." Journal of Econometrics 200, no. 1 (September 2017): 118–34. http://dx.doi.org/10.1016/j.jeconom.2017.01.011.
Повний текст джерелаDufour, Jean-Marie. "Unbiasedness of Predictions from Etimated Vector Autoregressions." Econometric Theory 1, no. 3 (December 1985): 387–402. http://dx.doi.org/10.1017/s0266466600011270.
Повний текст джерелаla Cour, Lisbeth. "A PARAMETRIC CHARACTERIZATION OF INTEGRATED VECTOR AUTOREGRESSIVE (VAR) PROCESSES." Econometric Theory 14, no. 2 (April 1998): 187–99. http://dx.doi.org/10.1017/s0266466698142020.
Повний текст джерелаGallego, Jose L. "The exact likelihood function of a vector autoregressive moving average process." Statistics & Probability Letters 79, no. 6 (March 2009): 711–14. http://dx.doi.org/10.1016/j.spl.2008.10.030.
Повний текст джерелаYang, Minxian. "SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS." Econometric Theory 16, no. 1 (February 2000): 23–43. http://dx.doi.org/10.1017/s026646660016102x.
Повний текст джерелаДисертації з теми "Vector autoregressive process"
Pradat, Yannick. "Retraite et risque financier." Thesis, Paris Sciences et Lettres (ComUE), 2017. http://www.theses.fr/2017PSLED022/document.
Повний текст джерелаChapter one examines the long run statistical characteristics of financial returns in France and the USA for selected assets. This study clearly shows that the returns’ distributions diverge from the Gaussian strategy as regards longholding periods. Thereafter we analyze the consequences of the non-Gaussian nature of stock returns on default-option retirement plans.Chapter two provides a reasonable explanation to the strong debate on the Efficient Market Hypothesis. The cause of the debate is often attributed to small sample sizes in combination with statistical tests for mean reversion that lackpower. In order to bypass this problem, we use the approach developed by Campbell and Viceira (2005) who have settled a vectorial autoregressive methodology (VAR) to measure the mean reversion of asset returns.The third chapter evaluates the speed of convergence of stock prices. A convenient way to characterize the speed of mean reversion is the half-life. Comparing the stock indexes of four developed countries (US, UK, France and Japan) during the period 1950-2014, we establish significant mean reversion, with a half-life lying between 4,0 and 5,8 years.The final chapter provides some results from a model built in order to study the linked impacts of demography and economy on the French pension scheme. In order to reveal the risks that are contained in pension fund investment, we use a Trending Ornstein-Uhlenbeck process instead of the typical GBM for modeling stock returns. We find that funded scheme returns, net of management fees, are slightly lower thanthe PAYG internal rate of return
Nemšáková, Alena. "Fundamentálna analýza akciového titulu akciového titulu RWE AG." Master's thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-3929.
Повний текст джерелаKuckuck, Jan. "Essays on Government Growth, Fiscal Policy and Debt Sustainability." Doctoral thesis, 2015. https://repositorium.ub.uni-osnabrueck.de/handle/urn:nbn:de:gbv:700-2015042913161.
Повний текст джерелаPetras, Petr. "Propojenost vysokofrekvenčních dat." Master's thesis, 2016. http://www.nusl.cz/ntk/nusl-352785.
Повний текст джерелаOliveira, Pedro Miguel Domingos Duarte de. "Aplicação da teoria da cointegração ao teste da hipótese de expectativas racionais na estrutura por prazo das taxas de juro." Master's thesis, 1997. http://hdl.handle.net/10400.5/12868.
Повний текст джерелаA formulação da hipótese de expectativas racionais no contexto da estrutura por prazo das taxas de jure possui diversas variantes que, num cenário de neutralidade face ao risco por parte dos investidores, sao mutuamente exclusivas. Demonstra-se, no entanto, que quando se admite a existência de aversão ao risco e possível compatibilizar as diversas abordagens, proporcionando uma expressao universal para exprimir a hlpótese em causa. Com base quer nessa expressão, quer na constatação de que as taxas de juro à vista nos EUA revelam uma trajectória comum durante o período compreendido entre Dezembro de 1946 e Fevereiro de 1991, aplicamos os testes de cointegração de Johansen por forma a testar a hipótese de expectativas racionais. Embora OS testes a priori lhe sejam favoráveis, o facto e que o sistema autoregressivo de suporte sofre de rna especificação(detectam-se fortes indícios de autocorrelação nos termos de perturbação de cada equação) colocando em causa a inferência estatística efectuada. Dado que o nosso objectivo central é averiguar a validade empirica da hipótese supra mencionada, procuramos contornar este problema introduzindo variáveis artificiais que captem possiveis alterações nos processes de geração dos dados e aplicando testes de raízes unitarias e de cointegração de acordo com a abordagem de Engle e Granger mas robustos a ocorrência de uma quebra de estrutura no comportamento estocastico das variáveis em causa. Os respectivos resultados apontam no sentido de não se rejeitar a hipótese de expectativas racionais, além de que permitem estimar de forma consistente os efeitos sobre os prémios de risco decorrentes da mudança de regime de política monetária em Outubro de 1979.
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Книги з теми "Vector autoregressive process"
Cha, Baekin. The influence of the exchange rate on the U.S. wage process: A vector autoregression approach. Kowloon, Hong Kong: City Polytechnic of Hong Kong, Department of Economics and Finance, 1993.
Знайти повний текст джерелаЧастини книг з теми "Vector autoregressive process"
Gates, Kathleen M., Sy-Miin Chow, and Peter C. M. Molenaar. "Vector Autoregression (VAR)." In Intensive Longitudinal Analysis of Human Processes, 73–101. Boca Raton: Chapman and Hall/CRC, 2023. http://dx.doi.org/10.1201/9780429172649-4.
Повний текст джерелаHerbst, Edward P., and Frank Schorfheide. "Turning a DSGE Model into a Bayesian Model." In Bayesian Estimation of DSGE Models. Princeton University Press, 2015. http://dx.doi.org/10.23943/princeton/9780691161082.003.0002.
Повний текст джерелаHansen, Lars Peter, and Thomas J. Sargent. "Statistical Representations." In Recursive Models of Dynamic Linear Economies. Princeton University Press, 2013. http://dx.doi.org/10.23943/princeton/9780691042770.003.0008.
Повний текст джерелаТези доповідей конференцій з теми "Vector autoregressive process"
Kvas, Andreas, and Torsten Mayer-Gürr. "Regularization of the Gravity Field Inversion Process with High-Dimensional Vector Autoregressive Models." In International Workshop on Bayesian Inference and Maximum Entropy Methods in Science and Engineering. Basel Switzerland: MDPI, 2021. http://dx.doi.org/10.3390/psf2021003007.
Повний текст джерелаCheng, T. C., P. H. Hsieh, and S. F. Yang. "On the Hotelling T2 control chart for the vector autoregressive process." In 2011 IEEE International Conference on Quality and Reliability (ICQR). IEEE, 2011. http://dx.doi.org/10.1109/icqr.2011.6031725.
Повний текст джерелаGholamhossein, Maryam, Ameneh Vatani, Najmeh Daroogheh, and K. Khorasani. "Prediction of the Jet Engine Performance Deterioration." In ASME 2012 International Mechanical Engineering Congress and Exposition. American Society of Mechanical Engineers, 2012. http://dx.doi.org/10.1115/imece2012-87936.
Повний текст джерелаLarbi, N., and J. Lardies. "Modal Parameters Estimation and Model Order Selection of a Structure Excited by a Random Force." In ASME 1999 Design Engineering Technical Conferences. American Society of Mechanical Engineers, 1999. http://dx.doi.org/10.1115/detc99/vib-8095.
Повний текст джерелаChen, Jinwei, Huisheng Zhang, and Shilie Weng. "Study on Nonlinear Identification SOFC Temperature Model Based on Particle Swarm Optimization-Least Squares Support Vector Regression." In ASME Turbo Expo 2016: Turbomachinery Technical Conference and Exposition. American Society of Mechanical Engineers, 2016. http://dx.doi.org/10.1115/gt2016-56236.
Повний текст джерела