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Chen, Peimin; Wu, Chunchi; Zhang, Ying
DCC-GARCH model for market and firm-level dynamic correlation in S&P 500. (English) Zbl 1451.91183
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 4421-4440 (2021).
MSC:  91G15 91G45 62P05 62M10
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\textit{P. Chen} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 4421--4440 (2021; Zbl 1451.91183)
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Tsukuda, Yoshihiko; Shimada, Junji; Miyakoshi, Tatsuyoshi
The multivariate GARCH model and its application to East Asian financial market integration. (English) Zbl 1451.91191
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 4209-4254 (2021).
MSC:  91G15 62P05 62M10
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\textit{Y. Tsukuda} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 4209--4254 (2021; Zbl 1451.91191)
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Yang, Ke; Wahab, Susan; Kolluri, Bharat; Wahab, Mahmoud
A non-parametric examination of emerging equity markets financial integration. (English) Zbl 1451.91192
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 4043-4074 (2021).
MSC:  91G15 62P05 62G08
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\textit{K. Yang} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 4043--4074 (2021; Zbl 1451.91192)
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Mohnot, Rajesh
Crisis impact on stock market predictability. (English) Zbl 07283319
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific (ISBN 978-981-12-0244-5/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 3737-3751 (2021).
MSC:  91G15 62P05 62M10
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\textit{R. Mohnot}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3737--3751 (2021; Zbl 07283319)
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Kao, Lie-Jane; Lee, Cheng Few
VG NGARCH versus GARJI model for asset price dynamics. (English) Zbl 1451.91207
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2437-2459 (2021).
MSC:  91G30 62P05 62M10
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\textit{L.-J. Kao} and \textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2437--2459 (2021; Zbl 1451.91207)
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Chien, Chin-Chen; Lee, Cheng Few; Chiu, She-Chih
The revision of systematic risk on earnings announcement in the presence of conditional heteroscedasticity. (English) Zbl 07283265
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific (ISBN 978-981-12-0242-1/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 1969-1990 (2021).
MSC:  91G45 62P05 62M10
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\textit{C.-C. Chien} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1969--1990 (2021; Zbl 07283265)
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Kaffel, Bilel; Abid, Fathi
Time-frequency wavelet analysis of stock-market co-movement between and within geographic trading blocs. (English) Zbl 07283248
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific (ISBN 978-981-12-0242-1/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 1399-1437 (2021).
MSC:  91G15 42C40
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\textit{B. Kaffel} and \textit{F. Abid}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1399--1437 (2021; Zbl 07283248)
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Lee, Cheng Few
Time-series analysis: components, models, and forecasting. (English) Zbl 07283238
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific (ISBN 978-981-12-0241-4/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 979-1024 (2021).
MSC:  62P05 62M10 62M20
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\textit{C. F. Lee}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 979--1024 (2021; Zbl 07283238)
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Zhang, Xi; Yu, Philip S.
Improving the stock market prediction with social media via broad learning. (English) Zbl 07283230
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific (ISBN 978-981-12-0241-4/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 677-736 (2021).
MSC:  91G15 91D30 62P05
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\textit{X. Zhang} and \textit{P. S. Yu}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 677--736 (2021; Zbl 07283230)
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Lin, Wei-Hung; Teng, Huei-Wen; Yang, Chi-Chun
A heteroskedastic Black-Litterman portfolio optimization model with views derived from a predictive regression. (English) Zbl 1451.91178
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 563-581 (2021).
MSC:  91G10 62P05 62M10
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\textit{W.-H. Lin} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 563--581 (2021; Zbl 1451.91178)
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Chang, Jow-Ran; Hung, Mao-Wei; Lee, Cheng Few
Application of intertemporal CAPM on international corporate finance. (English) Zbl 1451.91224
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 485-517 (2021).
MSC:  91G50 91G30 62P05 62M10
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\textit{J.-R. Chang} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 485--517 (2021; Zbl 1451.91224)
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Chen, Sheng-Syan; Lee, Cheng Few; Shresth, Keshab
Hedge ratio and time series analysis. (English) Zbl 07283223
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific (ISBN 978-981-12-0241-4/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 431-483 (2021).
MSC:  91G20 62P05 62M10
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\textit{S.-S. Chen} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 431--483 (2021; Zbl 07283223)
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Niu, Wei-Fang; Lu, Henry Horng-Shing
Measuring the collective correlation of a large number of stocks. (English) Zbl 07283220
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific (ISBN 978-981-12-0241-4/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 335-354 (2021).
MSC:  91G15 05C80
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\textit{W.-F. Niu} and \textit{H. H. S. Lu}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 335--354 (2021; Zbl 07283220)
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Novák, Vilém; Pavliska, Viktor
Time series: how unusual local behavior can be recognized using fuzzy modeling methods. (English) Zbl 1451.62172
Kreinovich, Vladik (ed.), Statistical and fuzzy approaches to data processing, with applications to econometrics and other areas. In honor of Hung T. Nguyen’s 75th birthday. Cham: Springer. Stud. Comput. Intell. 892, 157-177 (2021).
MSC:  62R07 62M86 62M10
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\textit{V. Novák} and \textit{V. Pavliska}, Stud. Comput. Intell. 892, 157--177 (2021; Zbl 1451.62172)
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Voloshko, Valeriy A.; Kharin, Yuriy S.
Semibinomial conditionally nonlinear autoregressive models of discrete random sequences: probabilistic properties and statistical parameter estimation. (English. Russian original) Zbl 07316007
Discrete Math. Appl. 30, No. 6, 417-437 (2020); translation from Diskretn. Mat. 31, No. 1, 72-98 (2019).
MSC:  62M10 62F12 60G60
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\textit{V. A. Voloshko} and \textit{Y. S. Kharin}, Discrete Math. Appl. 30, No. 6, 417--437 (2020; Zbl 07316007); translation from Diskretn. Mat. 31, No. 1, 72--98 (2019)
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Shah, S. R.; Ukaegbu, C. I.; Hamid, H. A.; Rahim, M. H. A.; Chuan, Z. L.
Statistical analysis of solvent polarity effects on phytochemicals extraction: multiple correspondence analysis (MCA) approach. (English) Zbl 07314132
Malays. J. Math. Sci. 14, Spec. Iss.: 2nd International Conference on Applied & Industrial Mathematics and Statistics 2019 (ICoAIMS 2019), 139-153 (2020).
MSC:  62P10 62H25 92C40
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\textit{S. R. Shah} et al., Malays. J. Math. Sci. 14, 139--153 (2020; Zbl 07314132)
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Frolov, A. N.
On combinatorial strong law of large numbers and rank statistics. (English. Russian original) Zbl 07311066
Vestn. St. Petersbg. Univ., Math. 53, No. 3, 336-343 (2020); translation from Vestn. St-Peterbg. Univ., Ser. I, Mat. Mekh. Astron. 7(65), No. 3, 490-499 (2020).
MSC:  62H20 62E10 60C05 60F15
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\textit{A. N. Frolov}, Vestn. St. Petersbg. Univ., Math. 53, No. 3, 336--343 (2020; Zbl 07311066); translation from Vestn. St-Peterbg. Univ., Ser. I, Mat. Mekh. Astron. 7(65), No. 3, 490--499 (2020)
Full Text: DOI
Frolov, A. N.
On the bounds for convergence rates in combinatorial strong limit theorems and their applications. (English. Russian original) Zbl 07310909
Vestn. St. Petersbg. Univ., Math. 53, No. 4, 443-449 (2020); translation from Vestn. St-Peterbg. Univ., Ser. I, Mat. Mekh. Astron. 7(65), No. 4, 688-698 (2020).
MSC:  60F05 60F15 60C05
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\textit{A. N. Frolov}, Vestn. St. Petersbg. Univ., Math. 53, No. 4, 443--449 (2020; Zbl 07310909); translation from Vestn. St-Peterbg. Univ., Ser. I, Mat. Mekh. Astron. 7(65), No. 4, 688--698 (2020)
Full Text: DOI
Bazán-Palomino, Walter
Bitcoin and its offspring: a volatility risk approach. (English) Zbl 07306699
Pichl, Lukáš (ed.) et al., Advanced studies of financial technologies and cryptocurrency markets. Springer: Singapore (ISBN 978-981-15-4497-2/hbk; 978-981-15-4498-9/ebook). 233-256 (2020).
MSC:  91G99 62P05 62M10
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\textit{W. Bazán-Palomino}, in: Advanced studies of financial technologies and cryptocurrency markets. Springer: Singapore. 233--256 (2020; Zbl 07306699)
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Pichl, Lukáš; Nan, Zheng; Kaizoji, Taisei
Time series analysis of ether cryptocurrency prices: efficiency, predictability, and arbitrage on exchange rates. (English) Zbl 07306696
Pichl, Lukáš (ed.) et al., Advanced studies of financial technologies and cryptocurrency markets. Springer: Singapore (ISBN 978-981-15-4497-2/hbk; 978-981-15-4498-9/ebook). 183-196 (2020).
MSC:  91G99 62P05 62M10
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\textit{L. Pichl} et al., in: Advanced studies of financial technologies and cryptocurrency markets. Springer: Singapore. 183--196 (2020; Zbl 07306696)
Full Text: DOI
Nan, Zheng; Kaizoji, Taisei
The optimal foreign exchange futures hedge on the bitcoin exchange rate: an application to the U.S. Dollar and the Euro. (English) Zbl 07306695
Pichl, Lukáš (ed.) et al., Advanced studies of financial technologies and cryptocurrency markets. Springer: Singapore (ISBN 978-981-15-4497-2/hbk; 978-981-15-4498-9/ebook). 163-181 (2020).
MSC:  91G20 62P05 62M10
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\textit{Z. Nan} and \textit{T. Kaizoji}, in: Advanced studies of financial technologies and cryptocurrency markets. Springer: Singapore. 163--181 (2020; Zbl 07306695)
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Washington, Simon; Karlaftis, Matthew; Mannering, Fred; Anastasopoulos, Panagiotis
Statistical and econometric methods for transportation data analysis. 3rd edition. (English) Zbl 1453.62009
Chapman & Hall/CRC Interdisciplinary Statistics Series. Boca Raton, FL: CRC Press (ISBN 978-0-367-19902-9/hbk; 978-0-429-24401-8/ebook). xviii, 477 p. (2020).
MSC:  62-02 62P30 62P20 62R07 62M10 90B06
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\textit{S. Washington} et al., Statistical and econometric methods for transportation data analysis. 3rd edition. Boca Raton, FL: CRC Press (2020; Zbl 1453.62009)
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