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
Gammoudi, Imed; Nani, Asma; El Ghourabi, Mohamed Generalized quasi maximum likelihood estimation for generalized autoregressive score models: simulations and real applications. (English) Zbl 1497.62232 Commun. Stat., Simulation Comput. 50, No. 11, 3338-3363 (2021). MSC: 62M10 62F12 62P05 91G70 PDFBibTeX XMLCite \textit{I. Gammoudi} et al., Commun. Stat., Simulation Comput. 50, No. 11, 3338--3363 (2021; Zbl 1497.62232) Full Text: DOI
Iqbal, Farhat; Triantafyllopoulos, Kostas Bayesian inference of multivariate rotated GARCH models with skew returns. (English) Zbl 1497.62236 Commun. Stat., Simulation Comput. 50, No. 10, 3105-3123 (2021). MSC: 62M10 62H12 62F15 62P05 PDFBibTeX XMLCite \textit{F. Iqbal} and \textit{K. Triantafyllopoulos}, Commun. Stat., Simulation Comput. 50, No. 10, 3105--3123 (2021; Zbl 1497.62236) Full Text: DOI Link
Nademi, Arash The single-index panel data models with heterogeneous link function: mixture approach. (English) Zbl 1497.62244 Commun. Stat., Simulation Comput. 50, No. 8, 2418-2431 (2021). MSC: 62M10 62F10 62P05 PDFBibTeX XMLCite \textit{A. Nademi}, Commun. Stat., Simulation Comput. 50, No. 8, 2418--2431 (2021; Zbl 1497.62244) Full Text: DOI
Chin, Wen Cheong; Lee, Min Cherng Nonlinear high-frequency stock market time series: modeling and combine forecast evaluations. (English) Zbl 1497.62313 Commun. Stat., Simulation Comput. 50, No. 7, 2126-2144 (2021). MSC: 62P20 62M10 62P05 91B84 PDFBibTeX XMLCite \textit{W. C. Chin} and \textit{M. C. Lee}, Commun. Stat., Simulation Comput. 50, No. 7, 2126--2144 (2021; Zbl 1497.62313) Full Text: DOI
Couto, Ricardo; Duczmal, Luiz H.; Burgarelli, Denise; Álvares, Felipe; Moreira, Gladston J. P. Nonparametric dependence modeling via cluster analysis: a financial contagion application. (English) Zbl 1489.62327 Commun. Stat., Simulation Comput. 50, No. 2, 537-556 (2021). MSC: 62P05 62M10 91G45 PDFBibTeX XMLCite \textit{R. Couto} et al., Commun. Stat., Simulation Comput. 50, No. 2, 537--556 (2021; Zbl 1489.62327) Full Text: DOI
Xu, Qifa; Zhuo, Xingxuan; Jiang, Cuixia; Sun, Fang; Huang, Xue Reverse restricted MIDAS model with application to US interest rate forecasts. (English) Zbl 1489.62379 Commun. Stat., Simulation Comput. 50, No. 2, 462-482 (2021). MSC: 62P20 62M10 62M20 62P05 PDFBibTeX XMLCite \textit{Q. Xu} et al., Commun. Stat., Simulation Comput. 50, No. 2, 462--482 (2021; Zbl 1489.62379) Full Text: DOI
Wu, Yanhua; Shi, Yufeng Detection of jumps in financial time series. (English) Zbl 1489.62338 Commun. Stat., Simulation Comput. 50, No. 2, 313-322 (2021). MSC: 62P05 60J74 62M02 62M10 PDFBibTeX XMLCite \textit{Y. Wu} and \textit{Y. Shi}, Commun. Stat., Simulation Comput. 50, No. 2, 313--322 (2021; Zbl 1489.62338) Full Text: DOI
Altun, Emrah A new approach to value-at-risk: GARCH-TSLx model with inference. (English) Zbl 1489.62324 Commun. Stat., Simulation Comput. 49, No. 12, 3134-3151 (2020). MSC: 62P05 62M10 62N05 91G70 PDFBibTeX XMLCite \textit{E. Altun}, Commun. Stat., Simulation Comput. 49, No. 12, 3134--3151 (2020; Zbl 1489.62324) Full Text: DOI
Sun, Li-Hsien; Lee, Chang-Shang; Emura, Takeshi A Bayesian inference for time series via copula-based Markov chain models. (English) Zbl 1489.62289 Commun. Stat., Simulation Comput. 49, No. 11, 2897-2913 (2020). MSC: 62M10 62F15 62H05 62P05 65C05 PDFBibTeX XMLCite \textit{L.-H. Sun} et al., Commun. Stat., Simulation Comput. 49, No. 11, 2897--2913 (2020; Zbl 1489.62289) Full Text: DOI
Hendrych, Radek; Cipra, Tomáš Self-weighted recursive estimation of GARCH models. (English) Zbl 1392.62310 Commun. Stat., Simulation Comput. 47, No. 2, 315-328 (2018). MSC: 62P05 62M10 91B84 PDFBibTeX XMLCite \textit{R. Hendrych} and \textit{T. Cipra}, Commun. Stat., Simulation Comput. 47, No. 2, 315--328 (2018; Zbl 1392.62310) Full Text: DOI
Song, Hyejin; Shin, Dong Wan; Yoo, Jae Keun Do we need the constant term in the heterogenous autoregressive model for forecasting realized volatilities? (English) Zbl 1462.62552 Commun. Stat., Simulation Comput. 47, No. 1, 63-73 (2018). MSC: 62M10 62P05 PDFBibTeX XMLCite \textit{H. Song} et al., Commun. Stat., Simulation Comput. 47, No. 1, 63--73 (2018; Zbl 1462.62552) Full Text: DOI
Chin, Wen Cheong; Lee, Min Cherng; Tan, Pei Pei Heterogenous market hypothesis evaluation using multipower variation volatility. (English) Zbl 1458.62238 Commun. Stat., Simulation Comput. 46, No. 8, 6574-6587 (2017). MSC: 62P05 91B84 PDFBibTeX XMLCite \textit{W. C. Chin} et al., Commun. Stat., Simulation Comput. 46, No. 8, 6574--6587 (2017; Zbl 1458.62238) Full Text: DOI
Yang, Xinxia; Chatpatanasiri, Ratthachat; Sattayatham, Pairote Value at risk estimation under stochastic volatility models using adaptive PMCMC methods. (English) Zbl 1385.62031 Commun. Stat., Simulation Comput. 46, No. 9, 7221-7237 (2017). MSC: 62P05 62M10 62F15 91G70 PDFBibTeX XMLCite \textit{X. Yang} et al., Commun. Stat., Simulation Comput. 46, No. 9, 7221--7237 (2017; Zbl 1385.62031) Full Text: DOI
Zevallos, Mauricio; Gasco, Loretta; Ehlers, Ricardo Riemann manifold Langevin methods on stochastic volatility estimation. (English) Zbl 1383.62258 Commun. Stat., Simulation Comput. 46, No. 10, 7942-7956 (2017). MSC: 62P05 62F15 62M10 PDFBibTeX XMLCite \textit{M. Zevallos} et al., Commun. Stat., Simulation Comput. 46, No. 10, 7942--7956 (2017; Zbl 1383.62258) Full Text: DOI arXiv
Luo, Lingling; Pairote, Sattayatham; Chatpatanasiri, Ratthachat GARCH-type forecasting models for volatility of stock market and MCS test. (English) Zbl 1417.62301 Commun. Stat., Simulation Comput. 46, No. 7, 5303-5312 (2017). MSC: 62P05 62M20 62M10 PDFBibTeX XMLCite \textit{L. Luo} et al., Commun. Stat., Simulation Comput. 46, No. 7, 5303--5312 (2017; Zbl 1417.62301) Full Text: DOI
De Pinho, Frank M.; Couto, Ricardo F. Comparing volatility forecasting models during the global financial crisis. (English) Zbl 1462.62532 Commun. Stat., Simulation Comput. 46, No. 7, 5257-5270 (2017). MSC: 62M10 91B84 62P05 PDFBibTeX XMLCite \textit{F. M. De Pinho} and \textit{R. F. Couto}, Commun. Stat., Simulation Comput. 46, No. 7, 5257--5270 (2017; Zbl 1462.62532) Full Text: DOI
Dutta, Santanu; Biswas, Suparna Extreme quantile estimation based on financial time series. (English) Zbl 1377.62196 Commun. Stat., Simulation Comput. 46, No. 6, 4226-4243 (2017). MSC: 62P05 62M10 62G32 91B84 91G70 PDFBibTeX XMLCite \textit{S. Dutta} and \textit{S. Biswas}, Commun. Stat., Simulation Comput. 46, No. 6, 4226--4243 (2017; Zbl 1377.62196) Full Text: DOI
Prass, Taiane S.; Lopes, Sílvia R. C.; Achcar, Jorge A. MCMC Bayesian estimation in FIEGARCH models. (English) Zbl 1349.62426 Commun. Stat., Simulation Comput. 45, No. 9, 3238-3258 (2016). MSC: 62M10 62F15 62P05 PDFBibTeX XMLCite \textit{T. S. Prass} et al., Commun. Stat., Simulation Comput. 45, No. 9, 3238--3258 (2016; Zbl 1349.62426) Full Text: DOI arXiv
Men, Zhongxian; Wirjanto, Tony S.; Kolkiewicz, Adam W. Sampling-based inference of time deformation models with heavy tail distributions. (English) Zbl 1349.62419 Commun. Stat., Simulation Comput. 45, No. 9, 3128-3148 (2016). MSC: 62M10 62P05 PDFBibTeX XMLCite \textit{Z. Men} et al., Commun. Stat., Simulation Comput. 45, No. 9, 3128--3148 (2016; Zbl 1349.62419) Full Text: DOI
Zhang, Bo; Bi, Tao Intraday serial correlation, volatility, and jump: evidence from China’s stock market. (English) Zbl 1343.62035 Commun. Stat., Simulation Comput. 45, No. 4, 1226-1239 (2016). MSC: 62P05 62G32 62M10 65C20 PDFBibTeX XMLCite \textit{B. Zhang} and \textit{T. Bi}, Commun. Stat., Simulation Comput. 45, No. 4, 1226--1239 (2016; Zbl 1343.62035) Full Text: DOI
Chen, Hsin-Hung; Chen, Mingchih; Chiu, Chun-Cheng The integration of artificial neural networks and text mining to forecast gold futures prices. (English) Zbl 1342.62165 Commun. Stat., Simulation Comput. 45, No. 4, 1213-1225 (2016). MSC: 62P05 62M20 91B84 PDFBibTeX XMLCite \textit{H.-H. Chen} et al., Commun. Stat., Simulation Comput. 45, No. 4, 1213--1225 (2016; Zbl 1342.62165) Full Text: DOI
Shan, Rui; Dai, Haibo; Zhao, Jingyi; Liu, Wen Forecasting study of Shanghai’s and Shenzhen’s stock markets using a hybrid forecast method. (English) Zbl 1315.62080 Commun. Stat., Simulation Comput. 44, No. 4, 1066-1077 (2015). MSC: 62P05 62M10 65T60 68T05 PDFBibTeX XMLCite \textit{R. Shan} et al., Commun. Stat., Simulation Comput. 44, No. 4, 1066--1077 (2015; Zbl 1315.62080) Full Text: DOI
De Capitani, Lucio Interval estimation for the Sortino ratio and the Omega ratio. (English) Zbl 1333.91061 Commun. Stat., Simulation Comput. 43, No. 6, 1385-1429 (2014). MSC: 91G70 62E20 60F05 62M10 62P05 91B82 PDFBibTeX XMLCite \textit{L. De Capitani}, Commun. Stat., Simulation Comput. 43, No. 6, 1385--1429 (2014; Zbl 1333.91061) Full Text: DOI Link
Tudor, Ciprian A.; Tudor, Cristiana EGARCH model with weighted liquidity. (English) Zbl 1333.62217 Commun. Stat., Simulation Comput. 43, No. 5, 1133-1142 (2014). MSC: 62M10 60G18 62M99 62P05 PDFBibTeX XMLCite \textit{C. A. Tudor} and \textit{C. Tudor}, Commun. Stat., Simulation Comput. 43, No. 5, 1133--1142 (2014; Zbl 1333.62217) Full Text: DOI
Balakrishna, N.; Rahul, T. Inverse Gaussian distribution for modeling conditional durations in finance. (English) Zbl 1291.62161 Commun. Stat., Simulation Comput. 43, No. 3, 476-486 (2014). MSC: 62M10 62E10 91B84 91G70 62P05 PDFBibTeX XMLCite \textit{N. Balakrishna} and \textit{T. Rahul}, Commun. Stat., Simulation Comput. 43, No. 3, 476--486 (2014; Zbl 1291.62161) Full Text: DOI
Zhang, Ying; Yu, Hao; McLeod, A. Ian Developments in maximum likelihood unit root tests. (English) Zbl 1347.62185 Commun. Stat., Simulation Comput. 42, No. 5, 1088-1103 (2013). MSC: 62M07 62M10 62P05 PDFBibTeX XMLCite \textit{Y. Zhang} et al., Commun. Stat., Simulation Comput. 42, No. 5, 1088--1103 (2013; Zbl 1347.62185) Full Text: DOI arXiv
Bi, Tao; Zhang, Bo; Wu, Huishan Measuring downside risk using high-frequency data: realized downside risk measure. (English) Zbl 1347.62223 Commun. Stat., Simulation Comput. 42, No. 4, 741-754 (2013). MSC: 62P05 91G70 62G32 62M10 65C20 PDFBibTeX XMLCite \textit{T. Bi} et al., Commun. Stat., Simulation Comput. 42, No. 4, 741--754 (2013; Zbl 1347.62223) Full Text: DOI
Strandberg, Alicia Graziosi; Iglewicz, Boris A nonparametric test for deviation from randomness with applications to stock market index data. (English) Zbl 1347.62070 Commun. Stat., Simulation Comput. 42, No. 3, 686-697 (2013). MSC: 62G10 62P05 PDFBibTeX XMLCite \textit{A. G. Strandberg} and \textit{B. Iglewicz}, Commun. Stat., Simulation Comput. 42, No. 3, 686--697 (2013; Zbl 1347.62070) Full Text: DOI
Chiang, Min-Hsien; Wang, Li-Min Additive outlier detection and estimation for the logarithmic autoregressive conditional duration model. (English) Zbl 1296.62202 Commun. Stat., Simulation Comput. 41, No. 3, 287-301 (2012). MSC: 62P05 62M10 62J20 91G70 PDFBibTeX XMLCite \textit{M.-H. Chiang} and \textit{L.-M. Wang}, Commun. Stat., Simulation Comput. 41, No. 3, 287--301 (2012; Zbl 1296.62202) Full Text: DOI
Bi, Tao; Zhang, Bo; Xu, Rong Dynamics of intraday serial correlation in China’s stock market. (English) Zbl 1227.62065 Commun. Stat., Simulation Comput. 40, No. 10, 1637-1650 (2011). MSC: 62M10 62P05 91G70 PDFBibTeX XMLCite \textit{T. Bi} et al., Commun. Stat., Simulation Comput. 40, No. 10, 1637--1650 (2011; Zbl 1227.62065) Full Text: DOI
Yu, Chao; Zhang, Jingxiao Bayesian approach to Markov switching stochastic volatility model with jumps. (English) Zbl 1227.62092 Commun. Stat., Simulation Comput. 40, No. 10, 1613-1626 (2011). MSC: 62P05 62F15 91G70 62M10 65C05 PDFBibTeX XMLCite \textit{C. Yu} and \textit{J. Zhang}, Commun. Stat., Simulation Comput. 40, No. 10, 1613--1626 (2011; Zbl 1227.62092) Full Text: DOI
Li, Yong; Ni, Zhong-Xin; Lin, Jin-Guan A stochastic simulation approach to model selection for stochastic volatility models. (English) Zbl 1219.62162 Commun. Stat., Simulation Comput. 40, No. 7, 1043-1056 (2011). MSC: 62P05 62F15 91G70 65C60 PDFBibTeX XMLCite \textit{Y. Li} et al., Commun. Stat., Simulation Comput. 40, No. 7, 1043--1056 (2011; Zbl 1219.62162) Full Text: DOI
Lu, Zhiping; Guegan, Dominique Estimation of time-varying long memory parameter using wavelet method. (English) Zbl 1217.62135 Commun. Stat., Simulation Comput. 40, No. 4, 596-613 (2011). MSC: 62M10 65T60 62P05 60G99 62M09 65C60 91G70 PDFBibTeX XMLCite \textit{Z. Lu} and \textit{D. Guegan}, Commun. Stat., Simulation Comput. 40, No. 4, 596--613 (2011; Zbl 1217.62135) Full Text: DOI
Lak, Fazlollah Bayesian unit root testing in unobserved-ARCH models. (English) Zbl 1209.62037 Commun. Stat., Simulation Comput. 40, No. 1-2, 208-215 (2011). MSC: 62F15 62M10 65C40 65C60 62P05 PDFBibTeX XMLCite \textit{F. Lak}, Commun. Stat., Simulation Comput. 40, No. 1--2, 208--215 (2011; Zbl 1209.62037) Full Text: DOI
Cepeda-Cuervo, Edilberto Generalized EGARCH random effect models application to financial time series. (English) Zbl 1205.62127 Commun. Stat., Simulation Comput. 39, No. 8-10, 1517-1529 (2010). MSC: 62M10 62F15 62P05 65C60 PDFBibTeX XMLCite \textit{E. Cepeda-Cuervo}, Commun. Stat., Simulation Comput. 39, No. 8--10, 1517--1529 (2010; Zbl 1205.62127) Full Text: DOI
Chong, Terence Tai-Leung; Hinich, Melvin J. An omnibus test for time series model \(I(d)\). (English) Zbl 1161.62055 Commun. Stat., Simulation Comput. 38, No. 1, 140-153 (2009). MSC: 62M10 62P05 62G10 91B28 PDFBibTeX XMLCite \textit{T. T. L. Chong} and \textit{M. J. Hinich}, Commun. Stat., Simulation Comput. 38, No. 1, 140--153 (2009; Zbl 1161.62055) Full Text: DOI
Grigoletto, Matteo; Provasi, Corrado Simulation and estimation of the Meixner distribution. (English) Zbl 1161.62004 Commun. Stat., Simulation Comput. 38, No. 1, 58-77 (2009). MSC: 62E15 62P05 62F10 65C60 62M10 62F40 PDFBibTeX XMLCite \textit{M. Grigoletto} and \textit{C. Provasi}, Commun. Stat., Simulation Comput. 38, No. 1, 58--77 (2009; Zbl 1161.62004) Full Text: DOI HAL
Bellini, Fabio; Bottolo, Leonardo Misspecification and domain issues in fitting \(\operatorname{GARCH}(1,1)\) models: a Monte Carlo investigation. (English) Zbl 1161.62053 Commun. Stat., Simulation Comput. 38, No. 1, 31-45 (2009). MSC: 62M10 65C05 62P05 62G30 PDFBibTeX XMLCite \textit{F. Bellini} and \textit{L. Bottolo}, Commun. Stat., Simulation Comput. 38, No. 1, 31--45 (2009; Zbl 1161.62053) Full Text: DOI
Aknouche, Abdelhakim; Guerbyenne, Hafida Recursive estimation of GARCH models. (English) Zbl 1105.62081 Commun. Stat., Simulation Comput. 35, No. 4, 925-938 (2006). MSC: 62M10 62F12 62P05 PDFBibTeX XMLCite \textit{A. Aknouche} and \textit{H. Guerbyenne}, Commun. Stat., Simulation Comput. 35, No. 4, 925--938 (2006; Zbl 1105.62081) Full Text: DOI
Malo, P.; Kanto, A. Evaluating multivariate GARCH models in the Nordic electricity markets. (English) Zbl 1084.62116 Commun. Stat., Simulation Comput. 35, No. 1, 117-148 (2006). MSC: 62P20 62M10 62H15 62P05 91B24 PDFBibTeX XMLCite \textit{P. Malo} and \textit{A. Kanto}, Commun. Stat., Simulation Comput. 35, No. 1, 117--148 (2006; Zbl 1084.62116) Full Text: DOI Link
Shimada, Junji; Tsukuda, Yoshihiko Estimation of stochastic volatility models: an approximation to the nonlinear state space representation. (English) Zbl 1066.62105 Commun. Stat., Simulation Comput. 34, No. 2, 429-450 (2005). MSC: 62P05 62C05 91B28 62M10 91B84 62M20 PDFBibTeX XMLCite \textit{J. Shimada} and \textit{Y. Tsukuda}, Commun. Stat., Simulation Comput. 34, No. 2, 429--450 (2005; Zbl 1066.62105) Full Text: DOI