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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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Du, Ding; Hu, Ou
Pricing liquidity in the stock market. (English) Zbl 1451.91185
Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 4119-4148 (2021).
MSC:  91G15 62P05
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\textit{D. Du} and \textit{O. Hu}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 4119--4148 (2021; Zbl 1451.91185)
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Tseng, K. C.; Kwon, Ojoung; Tjung, Luna C.
Time series and neural network analysis. (English) Zbl 07283324
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). 3887-3931 (2021).
MSC:  91G15 62P05 62M20 68T05
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\textit{K. C. Tseng} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3887--3931 (2021; Zbl 07283324)
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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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Su, Chen; Zhang, Hanxiong
A time-series bootstrapping simulation method to distinguish sell-side analysts’ skill from luck. (English) Zbl 07283267
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). 2011-2052 (2021).
MSC:  91G10 62P05 62R07 62F40
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\textit{C. Su} and \textit{H. Zhang}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 2011--2052 (2021; Zbl 07283267)
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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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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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Gil-Alana, Luis Alberiko; Carcel, Hector
ASEAN economic community: analysis based on fractional integration and cointegration. (English) Zbl 07283235
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). 889-915 (2021).
MSC:  91B60 91B84 62P20
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\textit{L. A. Gil-Alana} and \textit{H. Carcel}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 889--915 (2021; Zbl 07283235)
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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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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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Blagoev, Ivan
Method for evaluating the vulnerability of random number generators for cryptographic protection in information systems. (English) Zbl 07243204
Dimov, Ivan (ed.) et al., Advances in high performance computing. Results of the international conference on high performance computing, Borovets, Bulgaria, September 2–6, 2019. Cham: Springer (ISBN 978-3-030-55346-3/hbk; 978-3-030-55347-0/ebook). Studies in Computational Intelligence 902, 391-397 (2021).
MSC:  94A60 62M10
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\textit{I. Blagoev}, Stud. Comput. Intell. 902, 391--397 (2021; Zbl 07243204)
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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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Gluschenko, Konstantin
Nonlinear models of convergence. (English) Zbl 07315683
Kochetov, Yury (ed.) et al., Mathematical optimization theory and operations research. 19th international conference, MOTOR 2020, Novosibirsk, Russia, July 6–10, 2020. Revised selected papers. Cham: Springer (ISBN 978-3-030-58656-0/pbk; 978-3-030-58657-7/ebook). Communications in Computer and Information Science 1275, 207-215 (2020).
MSC:  91B82 91B84
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\textit{K. Gluschenko}, Commun. Comput. Inf. Sci. 1275, 207--215 (2020; Zbl 07315683)
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Ozoigbo, G. E.; Ette, A. M.
Perturbation approach to dynamic buckling of a statically pre-loaded, but viscously damped elastic structure. (English. Russian original) Zbl 07314895
J. Appl. Mech. Tech. Phys. 61, No. 6, 1001-1015 (2020); translation from Prikl. Mekh. Tekh. Fiz. 61, No. 6, 108-123 (2020).
MSC:  74H60 74H10
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\textit{G. E. Ozoigbo} and \textit{A. M. Ette}, J. Appl. Mech. Tech. Phys. 61, No. 6, 1001--1015 (2020; Zbl 07314895); translation from Prikl. Mekh. Tekh. Fiz. 61, No. 6, 108--123 (2020)
Full Text: DOI
Barigozzi, Matteo; Hallin, Marc
Generalized dynamic factor models and volatilities: estimation and forecasting. (English) Zbl 07307123
Hallin, Marc (ed.) et al., Time series in high dimensions. The general dynamic factor model. Hackensack, NJ: World Scientific (ISBN 978-981-327-800-4/hbk). 557-597 (2020).
MSC:  62
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\textit{M. Barigozzi} and \textit{M. Hallin}, in: Time series in high dimensions. The general dynamic factor model. Hackensack, NJ: World Scientific. 557--597 (2020; Zbl 07307123)
Forni, Mario; Hallin, Marc; Lippi, Marco; Zaffaroni, Paolo
Dynamic factor models with infinite-dimensional factor spaces: asymptotic analysis. (English) Zbl 07307116
Hallin, Marc (ed.) et al., Time series in high dimensions. The general dynamic factor model. Hackensack, NJ: World Scientific (ISBN 978-981-327-800-4/hbk). 229-306 (2020).
MSC:  62
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\textit{M. Forni} et al., in: Time series in high dimensions. The general dynamic factor model. Hackensack, NJ: World Scientific. 229--306 (2020; Zbl 07307116)
Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia
The generalized dynamic factor model: one-sided estimation and forecasting. (English) Zbl 07307114
Hallin, Marc (ed.) et al., Time series in high dimensions. The general dynamic factor model. Hackensack, NJ: World Scientific (ISBN 978-981-327-800-4/hbk). 153-182 (2020).
MSC:  62
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\textit{M. Forni} et al., in: Time series in high dimensions. The general dynamic factor model. Hackensack, NJ: World Scientific. 153--182 (2020; Zbl 07307114)
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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Derbentsev, Vasily; Matviychuk, Andriy; Soloviev, Vladimir N.
Forecasting of cryptocurrency prices using machine learning. (English) Zbl 07306698
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). 211-231 (2020).
MSC:  91G99 62P05 68T05
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\textit{V. Derbentsev} et al., in: Advanced studies of financial technologies and cryptocurrency markets. Springer: Singapore. 211--231 (2020; Zbl 07306698)
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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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Matsumoto, Ken; Makimoto, Naoki
Time series prediction with LSTM networks and its application to equity investment. (English) Zbl 07306690
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). 65-88 (2020).
MSC:  91G10 91G45 62P05 62M20
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\textit{K. Matsumoto} and \textit{N. Makimoto}, in: Advanced studies of financial technologies and cryptocurrency markets. Springer: Singapore. 65--88 (2020; Zbl 07306690)
Full Text: DOI
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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