نتایج جستجو برای: autoregressive model
تعداد نتایج: 2108192 فیلتر نتایج به سال:
This paper examines jump dynamic patterns in three Chinese medical stocks. It also compares the Value-at-Risk (VaR) forecasting performance of a newly proposed realized volatility model allowing for jumps with that of two commonly used realized volatility models, which do not account for jumps. Using the Heterogeneous Autoregressive Realized Volatility model that allows for jumps (HAR-CJN), we ...
In this paper, the two-stage procedure is considered for autoregressive parameters estimation in the p-order autoregressive model ( AR(p)). The point estimation and fixed-size confidence ellipsoids construction are investigated which are based on least-squares estimators. Performance criteria are shown including asymptotically risk efficient, asymptotically efficient, and asymptotically consist...
An inhomogeneous first–order integer–valued autoregressive (INAR(1)) process is investigated, where the autoregressive type coefficient slowly converges to one. It is shown that the process converges weakly to a Poisson or a compound Poisson distribution.
Convolutional autoregressive models have recently demonstrated state-of-the-art performance on a number of generation tasks. While fast, parallel training methods have been crucial for their success, generation is typically implemented in a naı̈ve fashion where redundant computations are unnecessarily repeated. This results in slow generation, making such models infeasible for production environ...
This paper examines the transmission of equity returns and volatility among Asian equity markets and investigates the differences that exist in this regard between the developed and emerging markets. Three developed markets (Hong Kong, Japan and Singapore) and six emerging markets (Indonesia, Korea, Malaysia, the Philippines, Taiwan and Thailand) are included in the analysis. A multivariate gen...
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