Song, Yuping; Cai, Chunchun; Mao, Huijue; Zhu, Min Self-weighted quantile regression estimation for diffusion parameter in jump-diffusion models. (English) Zbl 07803706 Stat. Probab. Lett. 206, Article ID 110011, 6 p. (2024). MSC: 62P05 62F12 62G08 62M05 62M10 60J60 PDFBibTeX XMLCite \textit{Y. Song} et al., Stat. Probab. Lett. 206, Article ID 110011, 6 p. (2024; Zbl 07803706) Full Text: DOI
Xuan, Hanwen; Maestrini, Luca; Chen, Feng; Grazian, Clara Stochastic variational inference for GARCH models. (English) Zbl 07800681 Stat. Comput. 34, No. 1, Paper No. 45, 26 p. (2024). MSC: 62-08 62M10 62F15 62P05 PDFBibTeX XMLCite \textit{H. Xuan} et al., Stat. Comput. 34, No. 1, Paper No. 45, 26 p. (2024; Zbl 07800681) Full Text: DOI arXiv
Aknouche, Abdelhakim; Scotto, Manuel G. A multiplicative thinning-based integer-valued GARCH model. (English) Zbl 07786777 J. Time Ser. Anal. 45, No. 1, 4-26 (2024). MSC: 62Mxx 62M10 62M20 62F12 62P05 60G10 PDFBibTeX XMLCite \textit{A. Aknouche} and \textit{M. G. Scotto}, J. Time Ser. Anal. 45, No. 1, 4--26 (2024; Zbl 07786777) Full Text: DOI
Akingbade, Samuel W.; Gidea, Marian; Manzi, Matteo; Nateghi, Vahid Why topological data analysis detects financial bubbles? (English) Zbl 07784310 Commun. Nonlinear Sci. Numer. Simul. 128, Article ID 107665, 20 p. (2024). MSC: 91G15 62R40 PDFBibTeX XMLCite \textit{S. W. Akingbade} et al., Commun. Nonlinear Sci. Numer. Simul. 128, Article ID 107665, 20 p. (2024; Zbl 07784310) Full Text: DOI arXiv
Avila, C. Sarai R. Tweet Influence on Market Trends: Analyzing the Impact of Social Media Sentiment on Biotech Stocks. arXiv:2402.03353 Preprint, arXiv:2402.03353 [q-fin.ST] (2024). MSC: 62P05 91G70 62H30 91B84 68T05 BibTeX Cite \textit{C. S. R. Avila}, ``Tweet Influence on Market Trends: Analyzing the Impact of Social Media Sentiment on Biotech Stocks'', Preprint, arXiv:2402.03353 [q-fin.ST] (2024) Full Text: arXiv OA License
Josaphat, Bony Parulian Forecasting dependent tail value-at-risk by ARMA-GJR-GARCH-copula method and its application in energy risk. (English) Zbl 07805718 J. Indones. Math. Soc. 29, No. 3, 382-407 (2023). MSC: 62P05 62H05 62M10 91G70 PDFBibTeX XMLCite \textit{B. P. Josaphat}, J. Indones. Math. Soc. 29, No. 3, 382--407 (2023; Zbl 07805718) Full Text: DOI
Bakkali, Youssra; El Merzguioui, Mhamed; Akharif, Abdelhadi; Azmani, Abdellah Forecasting stock return volatility using the realized GARCH model and an artificial neural network. (English) Zbl 07804265 Vestn. Yuzhno-Ural. Gos. Univ., Ser. Mat. Model. Program. 16, No. 4, 45-60 (2023). MSC: 62P05 62M10 62M20 62M45 68T07 PDFBibTeX XMLCite \textit{Y. Bakkali} et al., Vestn. Yuzhno-Ural. Gos. Univ., Ser. Mat. Model. Program. 16, No. 4, 45--60 (2023; Zbl 07804265) Full Text: DOI MNR
Batten, Jonathan A.; Choudhury, Tonmoy; Kinateder, Harald; Wagner, Niklas F. Volatility impacts on the European banking sector: GFC and COVID-19. (English) Zbl 07801438 Ann. Oper. Res. 330, No. 1-2, 335-360 (2023). MSC: 91G45 62P05 62M10 PDFBibTeX XMLCite \textit{J. A. Batten} et al., Ann. Oper. Res. 330, No. 1--2, 335--360 (2023; Zbl 07801438) Full Text: DOI OA License
Kandji, Baye Matar Exponential control of the trajectories of iterated function systems with application to semi-strong \(\mathrm{GARCH}(p,q)\) models. (English) Zbl 07787420 J. Appl. Probab. 60, No. 4, 1501-1515 (2023). MSC: 60H25 62M10 62P05 PDFBibTeX XMLCite \textit{B. M. Kandji}, J. Appl. Probab. 60, No. 4, 1501--1515 (2023; Zbl 07787420) Full Text: DOI
Yang, Kai; Zhang, Qingqing; Yu, Xinyang; Dong, Xiaogang Bayesian inference for a mixture double autoregressive model. (English) Zbl 07778713 Stat. Neerl. 77, No. 2, 188-207 (2023). MSC: 62Mxx 62Pxx 62Fxx PDFBibTeX XMLCite \textit{K. Yang} et al., Stat. Neerl. 77, No. 2, 188--207 (2023; Zbl 07778713) Full Text: DOI
Embrechts, Paul; Klüppelberg, Claudia; Mikosch, Thomas Modern extreme value theory at the interface of risk management, Bayesian networks and heavy-tailed time series. (English) Zbl 1525.60065 Morel, Jean-Michel (ed.) et al., Mathematics going forward. Collected mathematical brushstrokes. Cham: Springer. Lect. Notes Math. 2313, 115-139 (2023). MSC: 60G70 62P05 60F05 62M10 PDFBibTeX XMLCite \textit{P. Embrechts} et al., Lect. Notes Math. 2313, 115--139 (2023; Zbl 1525.60065) Full Text: DOI
Blasques, F. (ed.); Harvey, A. C. (ed.); Koopman, S. J. (ed.); Lucas, A. (ed.) Time-varying parameters in econometrics: the editor’s foreword. (English) Zbl 1524.00017 J. Econom. 237, No. 2, Part B, Article ID 105439, 3 p. (2023). MSC: 00B15 62-06 62P20 62P05 62M10 PDFBibTeX XMLCite \textit{F. Blasques} (ed.) et al., J. Econom. 237, No. 2, Part B, Article ID 105439, 3 p. (2023; Zbl 1524.00017) Full Text: DOI
Gorgi, P.; Koopman, S. J. Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects. (English) Zbl 07767718 J. Econom. 237, No. 2, Part B, Article ID 105177, 21 p. (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{P. Gorgi} and \textit{S. J. Koopman}, J. Econom. 237, No. 2, Part B, Article ID 105177, 21 p. (2023; Zbl 07767718) Full Text: DOI
Yadav, Miklesh Prasad; Sharma, Sudhi; Bhardwaj, Indira Volatility spillover between Chinese stock market and selected emerging economies: a dynamic conditional correlation and portfolio optimization perspective. (English) Zbl 1521.91354 Asia-Pac. Financ. Mark. 30, No. 2, 427-444 (2023). MSC: 91G15 91G10 62P05 62M10 PDFBibTeX XMLCite \textit{M. P. Yadav} et al., Asia-Pac. Financ. Mark. 30, No. 2, 427--444 (2023; Zbl 1521.91354) Full Text: DOI
Aggarwal, Khushboo; Jha, Mithilesh Kumar Stock returns seasonality in emerging Asian markets. (English) Zbl 1521.91338 Asia-Pac. Financ. Mark. 30, No. 1, 109-130 (2023). MSC: 91G15 62P05 62M10 PDFBibTeX XMLCite \textit{K. Aggarwal} and \textit{M. K. Jha}, Asia-Pac. Financ. Mark. 30, No. 1, 109--130 (2023; Zbl 1521.91338) Full Text: DOI
Tavakoli, Shahin; Nisol, Gilles; Hallin, Marc Factor models for high-dimensional functional time series. II: Estimation and forecasting. (English) Zbl 07731496 J. Time Ser. Anal. 44, No. 5-6, 601-621 (2023). MSC: 62Mxx 62M10 62H25 60G10 62P05 PDFBibTeX XMLCite \textit{S. Tavakoli} et al., J. Time Ser. Anal. 44, No. 5--6, 601--621 (2023; Zbl 07731496) Full Text: DOI
Hallin, Marc; Nisol, Gilles; Tavakoli, Shahin Factor models for high-dimensional functional time series. I: Representation results. (English) Zbl 07731495 J. Time Ser. Anal. 44, No. 5-6, 578-600 (2023). MSC: 62Mxx 62M10 62H25 60G10 62P05 PDFBibTeX XMLCite \textit{M. Hallin} et al., J. Time Ser. Anal. 44, No. 5--6, 578--600 (2023; Zbl 07731495) Full Text: DOI arXiv
Hongwiengjan, Warunya; Kumam, Poom; Thongtha, Dawud Option pricing with fuzzy-TGARCH volatility clustering. (English) Zbl 1524.62433 Int. J. Math. Comput. Sci. 18, No. 4, 781-803 (2023). MSC: 62P05 62M10 62M86 91G20 PDFBibTeX XMLCite \textit{W. Hongwiengjan} et al., Int. J. Math. Comput. Sci. 18, No. 4, 781--803 (2023; Zbl 1524.62433) Full Text: Link
Fjellström, Carmina Selected topics in mathematical modelling: machine learning and tugs-of-war. (English) Zbl 1515.68014 Uppsala Dissertations in Mathematics 127. Uppsala: Uppsala Univ., Department of Mathematics (Diss.) (ISBN 978-91-506-2998-9). 41 p., open access (2023). MSC: 68-02 35-02 91-02 35K65 35R11 35Q91 68T05 68T07 91A15 91B84 91G10 PDFBibTeX XMLCite \textit{C. Fjellström}, Selected topics in mathematical modelling: machine learning and tugs-of-war. Uppsala: Uppsala Univ., Department of Mathematics (Diss.) (2023; Zbl 1515.68014) Full Text: Link
Jeong, Minsoo A numerical method to obtain exact confidence intervals for likelihood-based parameter estimators. (English) Zbl 07702197 J. Stat. Plann. Inference 226, 20-29 (2023). MSC: 62-XX 65-XX PDFBibTeX XMLCite \textit{M. Jeong}, J. Stat. Plann. Inference 226, 20--29 (2023; Zbl 07702197) Full Text: DOI
Chu, Ba Local linear regression with nonparametrically generated covariates for weakly dependent data. (English) Zbl 1512.62045 J. Stat. Plann. Inference 225, 89-109 (2023). MSC: 62G08 62G20 62M10 62P05 PDFBibTeX XMLCite \textit{B. Chu}, J. Stat. Plann. Inference 225, 89--109 (2023; Zbl 1512.62045) Full Text: DOI
Nie, Huasheng; Waelbroeck, Henri Coupled GARCH(1,1) model. (English) Zbl 1519.91269 Quant. Finance 23, No. 5, 759-776 (2023). MSC: 91G20 62P05 62M10 PDFBibTeX XMLCite \textit{H. Nie} and \textit{H. Waelbroeck}, Quant. Finance 23, No. 5, 759--776 (2023; Zbl 1519.91269) Full Text: DOI
Collado, Ricardo A.; Creamer, Germán G. Metalearning of time series: an approximate dynamic programming approach. (English) Zbl 1519.91242 Quant. Finance 23, No. 4, 539-551 (2023). Reviewer: Pavel Stoynov (Sofia) MSC: 91G15 90C39 PDFBibTeX XMLCite \textit{R. A. Collado} and \textit{G. G. Creamer}, Quant. Finance 23, No. 4, 539--551 (2023; Zbl 1519.91242) Full Text: DOI
Rizzato, Matteo; Wallart, Julien; Geissler, Christophe; Morizet, Nicolas; Boumlaik, Noureddine Generative adversarial networks applied to synthetic financial scenarios generation. (English) Zbl 07697588 Physica A 623, Article ID 128899, 20 p. (2023). MSC: 82-XX PDFBibTeX XMLCite \textit{M. Rizzato} et al., Physica A 623, Article ID 128899, 20 p. (2023; Zbl 07697588) Full Text: DOI arXiv
Eyjolfsson, Heidar; Tjøstheim, Dag Multivariate self-exciting jump processes with applications to financial data. (English) Zbl 07691577 Bernoulli 29, No. 3, 2167-2191 (2023). MSC: 62Mxx 60Gxx 62Pxx PDFBibTeX XMLCite \textit{H. Eyjolfsson} and \textit{D. Tjøstheim}, Bernoulli 29, No. 3, 2167--2191 (2023; Zbl 07691577) Full Text: DOI arXiv Link
Maïnassara, Yacouba Boubacar; Esstafa, Youssef; Saussereau, Bruno Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms. (English) Zbl 07690322 Electron. J. Stat. 17, No. 1, 1160-1239 (2023). MSC: 62M10 62F03 62F05 91B84 62P05 PDFBibTeX XMLCite \textit{Y. B. Maïnassara} et al., Electron. J. Stat. 17, No. 1, 1160--1239 (2023; Zbl 07690322) Full Text: DOI arXiv Link
Chen, Yu; Ling, Guang; Song, Xiangxiang; Tu, Wenhui Characterizing the statistical complexity of nonlinear time series via ordinal pattern transition networks. (English) Zbl 1518.62011 Physica A 618, Article ID 128670, 19 p. (2023). MSC: 62M10 37M10 62P05 PDFBibTeX XMLCite \textit{Y. Chen} et al., Physica A 618, Article ID 128670, 19 p. (2023; Zbl 1518.62011) Full Text: DOI
Li, Jingyu; Yang, Xuenan; Qian, Tao; Xie, Qiwei The adaptive Fourier decomposition for financial time series. (English) Zbl 1521.91283 Eng. Anal. Bound. Elem. 150, 139-153 (2023). MSC: 91B84 62M10 PDFBibTeX XMLCite \textit{J. Li} et al., Eng. Anal. Bound. Elem. 150, 139--153 (2023; Zbl 1521.91283) Full Text: DOI
De Gooijer, Jan G. On portmanteau-type tests for nonlinear multivariate time series. (English) Zbl 1520.62108 J. Multivariate Anal. 195, Article ID 105157, 14 p. (2023). MSC: 62M10 62H15 62E20 62P05 PDFBibTeX XMLCite \textit{J. G. De Gooijer}, J. Multivariate Anal. 195, Article ID 105157, 14 p. (2023; Zbl 1520.62108) Full Text: DOI
Cheung, Eric C. K.; Lau, Hayden; Willmot, Gordon E.; Woo, Jae-Kyung Finite-time ruin probabilities using bivariate Laguerre series. (English) Zbl 1511.91114 Scand. Actuar. J. 2023, No. 2, 153-190 (2023). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 45K05 62P05 PDFBibTeX XMLCite \textit{E. C. K. Cheung} et al., Scand. Actuar. J. 2023, No. 2, 153--190 (2023; Zbl 1511.91114) Full Text: DOI
Gonzalez de Freitas Pinto, Mateus; de Oliveira Lima C. Marques, Guilherme; Chiann, Chang Jump detection in high-frequency financial data using wavelets. (English) Zbl 1508.91531 Int. J. Wavelets Multiresolut. Inf. Process. 21, No. 2, Article ID 2250056, 20 p. (2023). MSC: 91G15 62P05 62M10 42C40 PDFBibTeX XMLCite \textit{M. Gonzalez de Freitas Pinto} et al., Int. J. Wavelets Multiresolut. Inf. Process. 21, No. 2, Article ID 2250056, 20 p. (2023; Zbl 1508.91531) Full Text: DOI
Xin, Yue; Gao, Jinwu; Yang, Xiangfeng; Yang, Jing Maximum likelihood estimation for uncertain autoregressive moving average model with application in financial market. (English) Zbl 1524.62459 J. Comput. Appl. Math. 417, Article ID 114604, 15 p. (2023). MSC: 62M10 62M20 62F10 62M86 62P05 PDFBibTeX XMLCite \textit{Y. Xin} et al., J. Comput. Appl. Math. 417, Article ID 114604, 15 p. (2023; Zbl 1524.62459) Full Text: DOI
Ravishanker, Nalini; Raman, Balaji; Soyer, Refik Dynamic time series models using R-INLA. An applied perspective. (English) Zbl 1499.62006 Boca Raton, FL: CRC Press (ISBN 978-0-367-65427-6/hbk; 978-0-367-68062-6/pbk; 978-1-003-13403-9/ebook). xiii, 282 p. (2023). MSC: 62-01 62M10 62F15 62P05 62-04 PDFBibTeX XMLCite \textit{N. Ravishanker} et al., Dynamic time series models using R-INLA. An applied perspective. Boca Raton, FL: CRC Press (2023; Zbl 1499.62006) Full Text: DOI
Puccetti, Giovanni Measuring linear correlation between random vectors. (English) Zbl 07816967 Inf. Sci. 607, 1328-1347 (2022). MSC: 62-XX 60-XX PDFBibTeX XMLCite \textit{G. Puccetti}, Inf. Sci. 607, 1328--1347 (2022; Zbl 07816967) Full Text: DOI
Huang, Xin; Shang, Han Lin; Pitt, David Permutation entropy and its variants for measuring temporal dependence. (English) Zbl 1521.62149 Aust. N. Z. J. Stat. 64, No. 4, 442-477 (2022). MSC: 62M10 62B10 62P20 PDFBibTeX XMLCite \textit{X. Huang} et al., Aust. N. Z. J. Stat. 64, No. 4, 442--477 (2022; Zbl 1521.62149) Full Text: DOI OA License
Bennett, Stefanos; Cucuringu, Mihai; Reinert, Gesine Lead-lag detection and network clustering for multivariate time series with an application to the us equity market. (English) Zbl 07694470 Mach. Learn. 111, No. 12, 4497-4538 (2022). MSC: 68T05 PDFBibTeX XMLCite \textit{S. Bennett} et al., Mach. Learn. 111, No. 12, 4497--4538 (2022; Zbl 07694470) Full Text: DOI arXiv
Kouassi, Ben Célestin; Hili, Ouagnina; Katchekpele, Edoh On nonparametric estimation of a nonparametric autoregressive conditionally heteroscedastic process. (English. French summary) Zbl 1510.62363 Afr. Stat. 17, No. 3, 3293-3319 (2022). MSC: 62M10 62G05 62E20 62G20 62P05 PDFBibTeX XMLCite \textit{B. C. Kouassi} et al., Afr. Stat. 17, No. 3, 3293--3319 (2022; Zbl 1510.62363) Full Text: DOI Link
Esenkov, A. S.; Zakharova, E. M.; Kovaleva, M. D.; Konstantinov, D. E.; Makarov, I. S.; Pankovets, E. A. Research and application of deep neural network architectures for classification on multidimensional time series. (English. Russian original) Zbl 1512.91133 J. Comput. Syst. Sci. Int. 61, No. 4, 616-625 (2022); translation from Izv. Ross. Akad. Nauk, Teor. Sist. Upr. 2022, No. 4, 133-142 (2022). Reviewer: Pavel Stoynov (Sofia) MSC: 91G15 68T07 PDFBibTeX XMLCite \textit{A. S. Esenkov} et al., J. Comput. Syst. Sci. Int. 61, No. 4, 616--625 (2022; Zbl 1512.91133); translation from Izv. Ross. Akad. Nauk, Teor. Sist. Upr. 2022, No. 4, 133--142 (2022) Full Text: DOI
Kavungal, Shiji; Thekkedath, Rahul On normal-Laplace stochastic volatility model. (English) Zbl 1507.62321 Stoch. Qual. Control 37, No. 2, 127-136 (2022). MSC: 62P05 62M10 91B70 PDFBibTeX XMLCite \textit{S. Kavungal} and \textit{R. Thekkedath}, Stoch. Qual. Control 37, No. 2, 127--136 (2022; Zbl 1507.62321) Full Text: DOI
Sun, Ning; Yang, Chen; Zitikis, Ričardas Tail maximal dependence in bivariate models: estimation and applications. (English) Zbl 07665188 Math. Methods Stat. 31, No. 4, 170-196 (2022). MSC: 62-XX PDFBibTeX XMLCite \textit{N. Sun} et al., Math. Methods Stat. 31, No. 4, 170--196 (2022; Zbl 07665188) Full Text: DOI arXiv
Shoji, Isao; Nozawa, Masahiro Geometric analysis of nonlinear dynamics in application to financial time series. (English) Zbl 1508.37123 Chaos Solitons Fractals 164, Article ID 112582, 9 p. (2022). MSC: 37N40 91B84 34C15 91B55 91G80 PDFBibTeX XMLCite \textit{I. Shoji} and \textit{M. Nozawa}, Chaos Solitons Fractals 164, Article ID 112582, 9 p. (2022; Zbl 1508.37123) Full Text: DOI
Kononovicius, Aleksejus; Kazakevičius, Rytis; Kaulakys, Bronislovas Resemblance of the power-law scaling behavior of a non-Markovian and nonlinear point processes. (English) Zbl 1506.60052 Chaos Solitons Fractals 162, Article ID 112508, 6 p. (2022). MSC: 60G55 62M10 62P05 60G22 62P20 PDFBibTeX XMLCite \textit{A. Kononovicius} et al., Chaos Solitons Fractals 162, Article ID 112508, 6 p. (2022; Zbl 1506.60052) Full Text: DOI arXiv
Shternshis, Andrey; Mazzarisi, Piero; Marmi, Stefano Measuring market efficiency: the Shannon entropy of high-frequency financial time series. (English) Zbl 1506.91129 Chaos Solitons Fractals 162, Article ID 112403, 16 p. (2022). MSC: 91B84 62M10 62P05 94A17 91B26 PDFBibTeX XMLCite \textit{A. Shternshis} et al., Chaos Solitons Fractals 162, Article ID 112403, 16 p. (2022; Zbl 1506.91129) Full Text: DOI
Harris, Richard D. F.; Mazibas, Murat A component Markov regime-switching autoregressive conditional range model. (English) Zbl 1503.91113 Bull. Econ. Res. 74, No. 2, 650-683 (2022). MSC: 91G15 62P05 62M10 PDFBibTeX XMLCite \textit{R. D. F. Harris} and \textit{M. Mazibas}, Bull. Econ. Res. 74, No. 2, 650--683 (2022; Zbl 1503.91113) Full Text: DOI
Yousaf, Imran; Ali, Shoaib; Wong, Wing-Keung Return and volatility transmissions between metals and stocks: a study of the emerging Asian markets by using the VAR-AGARCH approach. (English) Zbl 1505.91374 Asia-Pac. J. Oper. Res. 39, No. 4, Article ID 2040020, 25 p. (2022). MSC: 91G15 62P05 62M10 PDFBibTeX XMLCite \textit{I. Yousaf} et al., Asia-Pac. J. Oper. Res. 39, No. 4, Article ID 2040020, 25 p. (2022; Zbl 1505.91374) Full Text: DOI
Guo, Zhiyu; Bai, Yizhou A lattice approach for option pricing under a regime-switching GARCH-jump model. (English) Zbl 1505.91379 Probab. Eng. Inf. Sci. 36, No. 4, 1138-1170 (2022). MSC: 91G20 62P05 62M10 PDFBibTeX XMLCite \textit{Z. Guo} and \textit{Y. Bai}, Probab. Eng. Inf. Sci. 36, No. 4, 1138--1170 (2022; Zbl 1505.91379) Full Text: DOI
Naeem, Muhammad; Ahmed, Sheraz Hedging effectiveness of currency ETFs against WTI crude oil price fluctuations. (English) Zbl 1508.91567 Luukka, Pasi (ed.) et al., Intelligent systems and applications in business and finance. Cham: Springer. Stud. Fuzziness Soft Comput. 415, 189-216 (2022). MSC: 91G20 62P05 62H05 62M10 PDFBibTeX XMLCite \textit{M. Naeem} and \textit{S. Ahmed}, Stud. Fuzziness Soft Comput. 415, 189--216 (2022; Zbl 1508.91567) Full Text: DOI
Lu, Quanying; Sun, Yuying; Hong, Yongmiao; Wang, Shouyang Forecasting interval-valued crude oil prices using asymmetric interval models. (English) Zbl 1505.91398 Quant. Finance 22, No. 11, 2047-2061 (2022). MSC: 91G30 62P05 PDFBibTeX XMLCite \textit{Q. Lu} et al., Quant. Finance 22, No. 11, 2047--2061 (2022; Zbl 1505.91398) Full Text: DOI
Li, Sange; Shang, Pengjian A new complexity measure: modified discrete generalized past entropy based on grain exponent. (English) Zbl 1498.94041 Chaos Solitons Fractals 157, Article ID 111928, 9 p. (2022). MSC: 94A17 91B84 PDFBibTeX XMLCite \textit{S. Li} and \textit{P. Shang}, Chaos Solitons Fractals 157, Article ID 111928, 9 p. (2022; Zbl 1498.94041) Full Text: DOI
Güntner, Jochen; Öhlinger, Peter Oil price shocks and the hedging benefit of airline investments. (English) Zbl 1517.91217 J. Econ. Dyn. Control 143, Article ID 104507, 19 p. (2022). MSC: 91G15 62P05 62M10 PDFBibTeX XMLCite \textit{J. Güntner} and \textit{P. Öhlinger}, J. Econ. Dyn. Control 143, Article ID 104507, 19 p. (2022; Zbl 1517.91217) Full Text: DOI
Chan, Joshua C. C.; Yu, Xuewen Fast and accurate variational inference for large Bayesian VARs with stochastic volatility. (English) Zbl 1514.62203 J. Econ. Dyn. Control 143, Article ID 104505, 19 p. (2022). MSC: 62P05 62F15 62M10 PDFBibTeX XMLCite \textit{J. C. C. Chan} and \textit{X. Yu}, J. Econ. Dyn. Control 143, Article ID 104505, 19 p. (2022; Zbl 1514.62203) Full Text: DOI arXiv
Mariani, Francesca; Polinesi, Gloria; Recchioni, Maria Cristina A tail-revisited Markowitz mean-variance approach and a portfolio network centrality. (English) Zbl 07606335 Comput. Manag. Sci. 19, No. 3, 425-455 (2022). MSC: 90Bxx PDFBibTeX XMLCite \textit{F. Mariani} et al., Comput. Manag. Sci. 19, No. 3, 425--455 (2022; Zbl 07606335) Full Text: DOI
Yadav, Konark; Yadav, Milind; Saini, Sandeep Stock market predictions using FastRNN-based model. (English) Zbl 1496.62176 Giri, Debasis (ed.) et al., Proceedings of the seventh international conference on mathematics and computing, ICMC 2021, Shibpur, India, March 2–5, 2021. Singapore: Springer. Adv. Intell. Syst. Comput. 1412, 439-450 (2022). MSC: 62P05 62M10 62M20 68T07 PDFBibTeX XMLCite \textit{K. Yadav} et al., Adv. Intell. Syst. Comput. 1412, 439--450 (2022; Zbl 1496.62176) Full Text: DOI
Tao, Ye; Yin, Juliang Markov switching quantile regression models with time-varying transition probabilities. (English) Zbl 1496.62075 J. Korean Stat. Soc. 51, No. 3, 803-830 (2022). MSC: 62G08 62M10 62F10 62F12 62P05 PDFBibTeX XMLCite \textit{Y. Tao} and \textit{J. Yin}, J. Korean Stat. Soc. 51, No. 3, 803--830 (2022; Zbl 1496.62075) Full Text: DOI
Maïnassara, Y. Boubacar; Kadmiri, O.; Saussereau, B. Estimation of multivariate asymmetric power GARCH models. (English) Zbl 1520.62111 J. Multivariate Anal. 192, Article ID 105073, 19 p. (2022). MSC: 62M10 62F12 62H12 62P05 PDFBibTeX XMLCite \textit{Y. B. Maïnassara} et al., J. Multivariate Anal. 192, Article ID 105073, 19 p. (2022; Zbl 1520.62111) Full Text: DOI arXiv
Old, Oliver Modeling time-varying unconditional variance by means of a free-knot spline-GARCH model. (English) Zbl 1494.91002 Gabler Theses. Wiesbaden: Springer Gabler; Hagen: FernUniv. Hagen, Fakultät für Wirtschaftswissenschaften (Diss. 2021) (ISBN 978-3-658-38617-7/pbk; 978-3-658-38618-4/ebook). xxii, 237 p. (2022). MSC: 91-02 62-01 91B84 62P05 62M10 PDFBibTeX XMLCite \textit{O. Old}, Modeling time-varying unconditional variance by means of a free-knot spline-GARCH model. Wiesbaden: Springer Gabler; Hagen: FernUniv. Hagen, Fakultät für Wirtschaftswissenschaften (Diss. 2021) (2022; Zbl 1494.91002) Full Text: DOI
Giacalone, Massimiliano Optimal forecasting accuracy using Lp-norm combination. (English) Zbl 07579337 Metron 80, No. 2, 187-230 (2022). MSC: 62-XX PDFBibTeX XMLCite \textit{M. Giacalone}, Metron 80, No. 2, 187--230 (2022; Zbl 07579337) Full Text: DOI
Alves, P. R. L. Quantifying chaos in stock markets before and during COVID-19 pandemic from the phase space reconstruction. (English) Zbl 07578529 Math. Comput. Simul. 202, 480-499 (2022). MSC: 91-XX 92-XX PDFBibTeX XMLCite \textit{P. R. L. Alves}, Math. Comput. Simul. 202, 480--499 (2022; Zbl 07578529) Full Text: DOI
Zhang, Maojun; Zhao, Yang; Nan, Jiangxia Economic policy uncertainty and volatility of treasury futures. (English) Zbl 1495.91126 Rev. Deriv. Res. 25, No. 1, 93-107 (2022). MSC: 91G20 62P05 62M10 PDFBibTeX XMLCite \textit{M. Zhang} et al., Rev. Deriv. Res. 25, No. 1, 93--107 (2022; Zbl 1495.91126) Full Text: DOI
Wang, Xingchun Valuing fade-in options with default risk in Heston-Nandi GARCH models. (English) Zbl 1495.91125 Rev. Deriv. Res. 25, No. 1, 1-22 (2022). MSC: 91G20 62P05 62M10 PDFBibTeX XMLCite \textit{X. Wang}, Rev. Deriv. Res. 25, No. 1, 1--22 (2022; Zbl 1495.91125) Full Text: DOI
Kim, Donggyu; Oh, Minseog; Wang, Yazhen Conditional quantile analysis for realized GARCH models. (English) Zbl 07570758 J. Time Ser. Anal. 43, No. 4, 640-665 (2022). MSC: 62Mxx 62M10 62P05 62F10 PDFBibTeX XMLCite \textit{D. Kim} et al., J. Time Ser. Anal. 43, No. 4, 640--665 (2022; Zbl 07570758) Full Text: DOI arXiv
De Clerk, Luke; Savel’ev, Sergey AI algorithms for fitting GARCH parameters to empirical financial data. (English) Zbl 1528.62053 Physica A 603, Article ID 127869, 8 p. (2022). MSC: 62P05 62M10 68T07 PDFBibTeX XMLCite \textit{L. De Clerk} and \textit{S. Savel'ev}, Physica A 603, Article ID 127869, 8 p. (2022; Zbl 1528.62053) Full Text: DOI
Kaibuchi, H.; Kawasaki, Y.; Stupfler, G. GARCH-UGH: a bias-reduced approach for dynamic extreme value-at-risk estimation in financial time series. (English) Zbl 1497.91343 Quant. Finance 22, No. 7, 1277-1294 (2022). MSC: 91G70 62M10 60G70 PDFBibTeX XMLCite \textit{H. Kaibuchi} et al., Quant. Finance 22, No. 7, 1277--1294 (2022; Zbl 1497.91343) Full Text: DOI arXiv
Rezende, Thiago A new filtering inference procedure for a GED state-space volatility model. (English) Zbl 1497.62275 J. Stat. Plann. Inference 221, 55-68 (2022). MSC: 62P05 62F15 62M10 PDFBibTeX XMLCite \textit{T. Rezende}, J. Stat. Plann. Inference 221, 55--68 (2022; Zbl 1497.62275) Full Text: DOI
Li, Xiao-ling; Li, Yuan; Pan, Jia-zhu; Zhang, Xing-fa A factor-GARCH model for high dimensional volatilities. (English) Zbl 1490.62259 Acta Math. Appl. Sin., Engl. Ser. 38, No. 3, 635-663 (2022). MSC: 62M10 62H12 62H25 62F12 62P05 PDFBibTeX XMLCite \textit{X.-l. Li} et al., Acta Math. Appl. Sin., Engl. Ser. 38, No. 3, 635--663 (2022; Zbl 1490.62259) Full Text: DOI
Yang, Shuquan; Ling, Nengxiang; Gong, Yulin Robust estimation of the number of factors for the pair-elliptical factor models. (English) Zbl 1505.62431 Comput. Stat. 37, No. 3, 1495-1522 (2022). MSC: 62-08 62H25 62M10 62P05 PDFBibTeX XMLCite \textit{S. Yang} et al., Comput. Stat. 37, No. 3, 1495--1522 (2022; Zbl 1505.62431) Full Text: DOI
Hainaut, Donatien Continuous time processes for finance. Switching, self-exciting, fractional and other recent dynamics. (English) Zbl 1512.91001 Bocconi & Springer Series 12. Milano: Bocconi University Press; Cham: Springer (ISBN 978-3-031-06360-2/hbk; 978-3-031-06361-9/ebook). xviii, 345 p. (2022). Reviewer: Gianluca Cassese (Milano) MSC: 91-01 91G15 91G20 91G30 62M10 60J28 60G22 60G51 60J74 PDFBibTeX XMLCite \textit{D. Hainaut}, Continuous time processes for finance. Switching, self-exciting, fractional and other recent dynamics. Milano: Bocconi University Press; Cham: Springer (2022; Zbl 1512.91001) Full Text: DOI
Li, Deyuan; Ling, Chen; Liu, Qing; Peng, Liang Inference for the Lee-Carter model with an AR(2) process. (English) Zbl 1493.62587 Methodol. Comput. Appl. Probab. 24, No. 2, 991-1019 (2022). MSC: 62P05 62M10 91G05 PDFBibTeX XMLCite \textit{D. Li} et al., Methodol. Comput. Appl. Probab. 24, No. 2, 991--1019 (2022; Zbl 1493.62587) Full Text: DOI
Boubacar Maïnassara, Yacouba; Ilmi Amir, Abdoulkarim Goodness-of-fit tests for SPARMA models with dependent error terms. (English) Zbl 07553417 J. Time Ser. Econom. 14, No. 2, 107-140 (2022). MSC: 62P20 62M10 62F03 62F05 91B84 62P05 PDFBibTeX XMLCite \textit{Y. Boubacar Maïnassara} and \textit{A. Ilmi Amir}, J. Time Ser. Econom. 14, No. 2, 107--140 (2022; Zbl 07553417) Full Text: DOI
Boubacar Maïnassara, Yacouba; Kadmiri, Othman; Saussereau, Bruno Portmanteau test for the asymmetric power GARCH model when the power is unknown. (English) Zbl 1490.62230 Stat. Pap. 63, No. 3, 755-793 (2022). MSC: 62M10 62F03 62F05 91B84 62P05 PDFBibTeX XMLCite \textit{Y. Boubacar Maïnassara} et al., Stat. Pap. 63, No. 3, 755--793 (2022; Zbl 1490.62230) Full Text: DOI arXiv
Ben Ameur, Hachmi; Louhichi, Waël The Brexit impact on European market co-movements. (English) Zbl 1492.91348 Ann. Oper. Res. 313, No. 2, 1387-1403 (2022). MSC: 91G15 91G10 PDFBibTeX XMLCite \textit{H. Ben Ameur} and \textit{W. Louhichi}, Ann. Oper. Res. 313, No. 2, 1387--1403 (2022; Zbl 1492.91348) Full Text: DOI
Miled, Wafa; Ftiti, Zied; Sahut, Jean-Michel Spatial contagion between financial markets: new evidence of asymmetric measures. (English) Zbl 1494.91143 Ann. Oper. Res. 313, No. 2, 1183-1220 (2022). MSC: 91G15 91G45 62P05 62H05 PDFBibTeX XMLCite \textit{W. Miled} et al., Ann. Oper. Res. 313, No. 2, 1183--1220 (2022; Zbl 1494.91143) Full Text: DOI
Rizvi, Syed Kumail Abbas; Naqvi, Bushra; Mirza, Nawazish Is green investment different from grey? Return and volatility spillovers between green and grey energy ETFs. (English) Zbl 1494.91137 Ann. Oper. Res. 313, No. 1, 495-524 (2022). MSC: 91G10 91B76 62P05 62M10 PDFBibTeX XMLCite \textit{S. K. A. Rizvi} et al., Ann. Oper. Res. 313, No. 1, 495--524 (2022; Zbl 1494.91137) Full Text: DOI
Ameur, Hachmi Ben; Ftiti, Zied; Louhichi, Waël Revisiting the relationship between spot and futures markets: evidence from commodity markets and NARDL framework. (English) Zbl 1494.91150 Ann. Oper. Res. 313, No. 1, 171-189 (2022). MSC: 91G20 62P05 62M10 PDFBibTeX XMLCite \textit{H. B. Ameur} et al., Ann. Oper. Res. 313, No. 1, 171--189 (2022; Zbl 1494.91150) Full Text: DOI
Mariani, Maria; Tweneboah, Osei Kofi Modeling high frequency stock market data by using stochastic models. (English) Zbl 1489.91314 Stochastic Anal. Appl. 40, No. 4, 573-588 (2022). MSC: 91G80 60J70 PDFBibTeX XMLCite \textit{M. Mariani} and \textit{O. K. Tweneboah}, Stochastic Anal. Appl. 40, No. 4, 573--588 (2022; Zbl 1489.91314) Full Text: DOI
Grzesiek, Aleksandra; Teuerle, Marek; Wyłomańska, Agnieszka Cross-codifference for bidimensional VAR(1) time series with infinite variance. (English) Zbl 1524.62428 Commun. Stat., Simulation Comput. 51, No. 3, 1355-1380 (2022). MSC: 62M10 62P05 PDFBibTeX XMLCite \textit{A. Grzesiek} et al., Commun. Stat., Simulation Comput. 51, No. 3, 1355--1380 (2022; Zbl 1524.62428) Full Text: DOI arXiv
Garcin, Matthieu; Grasselli, Martino Long versus short time scales: the rough dilemma and beyond. (English) Zbl 1492.91355 Decis. Econ. Finance 45, No. 1, 257-278 (2022). MSC: 91G15 60G22 PDFBibTeX XMLCite \textit{M. Garcin} and \textit{M. Grasselli}, Decis. Econ. Finance 45, No. 1, 257--278 (2022; Zbl 1492.91355) Full Text: DOI arXiv
Wan, Li; Ling, Guang; Guan, Zhi-Hong; Fan, Qingju; Tong, Yu-Han Fractional multiscale phase permutation entropy for quantifying the complexity of nonlinear time series. (English) Zbl 07543437 Physica A 600, Article ID 127506, 13 p. (2022). MSC: 82-XX PDFBibTeX XMLCite \textit{L. Wan} et al., Physica A 600, Article ID 127506, 13 p. (2022; Zbl 07543437) Full Text: DOI
Yazdani, S.; Hadizadeh, M.; Fakoor, V. Computational analysis of the behavior of stochastic volatility models with financial applications. (English) Zbl 1524.62155 J. Comput. Appl. Math. 411, Article ID 114258, 12 p. (2022). MSC: 62G05 62P05 91G20 62M10 62G07 PDFBibTeX XMLCite \textit{S. Yazdani} et al., J. Comput. Appl. Math. 411, Article ID 114258, 12 p. (2022; Zbl 1524.62155) Full Text: DOI
Wang, Xiaochen; Song, Yuping Self-weighted quantile estimation of autoregressive conditional duration model. (English) Zbl 1485.62131 J. Korean Stat. Soc. 51, No. 1, 87-108 (2022). MSC: 62M10 62F12 62P05 PDFBibTeX XMLCite \textit{X. Wang} and \textit{Y. Song}, J. Korean Stat. Soc. 51, No. 1, 87--108 (2022; Zbl 1485.62131) Full Text: DOI
Wan, Pengbo; Alhebaishi, Nawaf; Liu, Qi Financial time series using nonlinear differential equation of Gaussian distribution probability density. (English) Zbl 07507568 Fractals 30, No. 2, Article ID 2240084, 12 p. (2022). MSC: 62Gxx 60Gxx 62Fxx PDFBibTeX XMLCite \textit{P. Wan} et al., Fractals 30, No. 2, Article ID 2240084, 12 p. (2022; Zbl 07507568) Full Text: DOI
James, Nick Distance measures, inconsistency matrices and algorithms for the study of epidemiological and financial crises. (Abstract of thesis). (English) Zbl 1490.62251 Bull. Aust. Math. Soc. 105, No. 2, 349-350 (2022). MSC: 62M10 62H12 62P05 62P10 91G15 92D30 PDFBibTeX XMLCite \textit{N. James}, Bull. Aust. Math. Soc. 105, No. 2, 349--350 (2022; Zbl 1490.62251) Full Text: DOI
Khashanah, Khaldoun; Shao, Chenjie Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model. (English) Zbl 1484.91456 Quant. Finance 22, No. 2, 241-253 (2022). MSC: 91G15 62P05 62M10 PDFBibTeX XMLCite \textit{K. Khashanah} and \textit{C. Shao}, Quant. Finance 22, No. 2, 241--253 (2022; Zbl 1484.91456) Full Text: DOI
Chen, Zezhun; Dassios, Angelos Cluster point processes and Poisson thinning INARMA. (English) Zbl 1483.62149 Stochastic Processes Appl. 147, 456-480 (2022). MSC: 62M10 60G55 62P05 PDFBibTeX XMLCite \textit{Z. Chen} and \textit{A. Dassios}, Stochastic Processes Appl. 147, 456--480 (2022; Zbl 1483.62149) Full Text: DOI
Yang, Bingduo; Cai, Zongwu; Hafner, Christian; Liu, Guannan Time-varying mixture copula models with copula selection. (English) Zbl 1524.62518 Stat. Sin. 32, No. 2, 1049-1077 (2022). MSC: 62P05 62H05 62M10 PDFBibTeX XMLCite \textit{B. Yang} et al., Stat. Sin. 32, No. 2, 1049--1077 (2022; Zbl 1524.62518) Full Text: DOI
Zhou, Jiayuan; Jiang, Feiyu; Zhu, Ke; Li, Wai Keung Time series models for realized covariance matrices based on the matrix-F distribution. (English) Zbl 1524.62462 Stat. Sin. 32, No. 2, 755-786 (2022). MSC: 62M10 62H12 62H25 62P05 62P20 PDFBibTeX XMLCite \textit{J. Zhou} et al., Stat. Sin. 32, No. 2, 755--786 (2022; Zbl 1524.62462) Full Text: DOI arXiv
Andersen, Torben G. (ed.); Chang, Chia-Lin (ed.); Ling, Shiqing (ed.) Editorial. Overview: Time series analysis of higher moments and distributions of financial data. (English) Zbl 1481.00035 J. Econom. 227, No. 1, 1-3 (2022). MSC: 00B25 62-06 62M10 62P05 91-06 PDFBibTeX XMLCite \textit{T. G. Andersen} (ed.) et al., J. Econom. 227, No. 1, 1--3 (2022; Zbl 1481.00035) Full Text: DOI
Lee, Sangyeol; Meintanis, Simos G.; Pretorius, Charl Monitoring procedures for strict stationarity based on the multivariate characteristic function. (English) Zbl 1520.62110 J. Multivariate Anal. 189, Article ID 104892, 20 p. (2022). MSC: 62M10 62G10 62G20 62H15 62M07 62G09 62P05 PDFBibTeX XMLCite \textit{S. Lee} et al., J. Multivariate Anal. 189, Article ID 104892, 20 p. (2022; Zbl 1520.62110) Full Text: DOI
Ellington, Michael Fat tails, serial dependence, and implied volatility index connections. (English) Zbl 1490.91235 Eur. J. Oper. Res. 299, No. 2, 768-779 (2022). MSC: 91G45 62P05 91B84 PDFBibTeX XMLCite \textit{M. Ellington}, Eur. J. Oper. Res. 299, No. 2, 768--779 (2022; Zbl 1490.91235) Full Text: DOI
Bian, Siyu; Serra, Teresa; Garcia, Philip; Irwin, Scott New evidence on market response to public announcements in the presence of microstructure noise. (English) Zbl 1490.91103 Eur. J. Oper. Res. 298, No. 2, 785-800 (2022). MSC: 91B24 62P05 91B84 PDFBibTeX XMLCite \textit{S. Bian} et al., Eur. J. Oper. Res. 298, No. 2, 785--800 (2022; Zbl 1490.91103) Full Text: DOI
Chun, Dohyun; Kim, Donggyu State heterogeneity analysis of financial volatility using high-frequency financial data. (English) Zbl 1492.91351 J. Time Ser. Anal. 43, No. 1, 105-124 (2022). MSC: 91G15 62P05 62M10 PDFBibTeX XMLCite \textit{D. Chun} and \textit{D. Kim}, J. Time Ser. Anal. 43, No. 1, 105--124 (2022; Zbl 1492.91351) Full Text: DOI arXiv
Almanjahie, Ibrahim M.; Bouzebda, Salim; Kaid, Zoulikha; Laksaci, Ali Nonparametric estimation of expectile regression in functional dependent data. (English) Zbl 07476221 J. Nonparametric Stat. 34, No. 1, 250-281 (2022). Reviewer: Gilles Stupfler (Angers) MSC: 62G08 62G10 62G35 62G07 62G32 62G30 62H12 62R10 PDFBibTeX XMLCite \textit{I. M. Almanjahie} et al., J. Nonparametric Stat. 34, No. 1, 250--281 (2022; Zbl 07476221) Full Text: DOI
Gontis, V. Order flow in the financial markets from the perspective of the fractional Lévy stable motion. (English) Zbl 1504.62158 Commun. Nonlinear Sci. Numer. Simul. 105, Article ID 106087, 11 p. (2022). MSC: 62P05 62M10 60G22 91G15 PDFBibTeX XMLCite \textit{V. Gontis}, Commun. Nonlinear Sci. Numer. Simul. 105, Article ID 106087, 11 p. (2022; Zbl 1504.62158) Full Text: DOI arXiv
Laopodis, Nikiforos T. Financial economics and econometrics. (English) Zbl 1501.91003 Routledge Advanced Texts in Economics and Finance 37. Milton Park, Abingdon: Routledge (ISBN 978-1-032-07018-6/hbk; 978-1-032-07017-9/pbk; 978-1-003-20500-5/ebook). xxxv, 729 p. (2022). Reviewer: Claudio Fontana (Paris) MSC: 91-02 91G30 91G50 91G70 PDFBibTeX XMLCite \textit{N. T. Laopodis}, Financial economics and econometrics. Milton Park, Abingdon: Routledge (2022; Zbl 1501.91003) Full Text: DOI
Tjøstheim, Dag; Otneim, Håkon; Støve, Bård Statistical modeling using local Gaussian approximation. (English) Zbl 1504.62011 Amsterdam: Elsevier/Academic Press (ISBN 978-0-12-815861-6/pbk; 978-0-12-815445-8/ebook). xv, 442 p. (2022). MSC: 62-01 62E10 60G15 62M10 62M15 62G05 62H12 62H20 62H30 62P05 62P20 62-08 PDFBibTeX XMLCite \textit{D. Tjøstheim} et al., Statistical modeling using local Gaussian approximation. Amsterdam: Elsevier/Academic Press (2022; Zbl 1504.62011) Full Text: DOI
Mishura, Yuliya; Ralchenko, Kostiantyn Discrete-time approximations and limit theorems. In applications to financial markets. (English) Zbl 1503.60002 De Gruyter Series in Probability and Stochastics 2. Berlin: De Gruyter (ISBN 978-3-11-065279-6/hbk; 978-3-11-065424-0/ebook). xvi, 373 p. (2022). Reviewer: Fraser Daly (Edinburgh) MSC: 60-01 91-01 60F05 60F17 62M10 62P05 91G15 91G20 91G30 PDFBibTeX XMLCite \textit{Y. Mishura} and \textit{K. Ralchenko}, Discrete-time approximations and limit theorems. In applications to financial markets. Berlin: De Gruyter (2022; Zbl 1503.60002) Full Text: DOI
Calmon, Wilson; Ferioli, Eduardo; Lettieri, Davi; Soares, Johann; Pizzinga, Adrian An extensive comparison of some well-established value at risk methods. (English) Zbl 07777530 Int. Stat. Rev. 89, No. 1, 148-166 (2021). MSC: 62P05 62M10 91G70 PDFBibTeX XMLCite \textit{W. Calmon} et al., Int. Stat. Rev. 89, No. 1, 148--166 (2021; Zbl 07777530) Full Text: DOI
Nitithumbundit, Thanakorn; Chan, Jennifer S. K. ECM algorithm for estimating vector ARMA model with variance gamma distribution and possible unbounded density. (English) Zbl 1521.62198 Aust. N. Z. J. Stat. 63, No. 3, 485-516 (2021). MSC: 62P05 62F10 62M10 62H12 PDFBibTeX XMLCite \textit{T. Nitithumbundit} and \textit{J. S. K. Chan}, Aust. N. Z. J. Stat. 63, No. 3, 485--516 (2021; Zbl 1521.62198) Full Text: DOI
Hyndman, Rob J.; Zeng, Yijun; Shang, Han Lin Forecasting the old-age dependency ratio to determine a sustainable pension age. (English) Zbl 1521.62195 Aust. N. Z. J. Stat. 63, No. 2, 241-256 (2021). MSC: 62P05 PDFBibTeX XMLCite \textit{R. J. Hyndman} et al., Aust. N. Z. J. Stat. 63, No. 2, 241--256 (2021; Zbl 1521.62195) Full Text: DOI
Hecq, Alain; Sun, Li Selecting between causal and noncausal models with quantile autoregressions. (English) Zbl 07679742 Stud. Nonlinear Dyn. Econom. 25, No. 5, 393-416 (2021). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{A. Hecq} and \textit{L. Sun}, Stud. Nonlinear Dyn. Econom. 25, No. 5, 393--416 (2021; Zbl 07679742) Full Text: DOI