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检索条件"主题词=Mixed Data sampling"
40 条 记 录,以下是1-10 订阅
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Forecasting expected shortfall and value at risk with a joint elicitable mixed data sampling model
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JOURNAL OF FORECASTING 2022年 第3期41卷 407-421页
作者: Xu, Qifa Chen, Lu Jiang, Cuixia Liu, Yezheng Hefei Univ Technol Sch Management Hefei 230009 Anhui Peoples R China Minist Educ Key Lab Proc Optimizat & Intelligent Decis Making Hefei Peoples R China
Low-frequency risk measures can filter out noise and better reflect the trend. In order to improve the forecasting accuracy of low-frequency risk through making full use of the valuable information contained in high-f... 详细信息
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A mixed data sampling copula model for the return-liquidity dependence in stock index futures markets
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ECONOMIC MODELLING 2018年 68卷 586-598页
作者: Gong, Yuting Chen, Qiang Liang, Jufang Shanghai Univ SHU UTS SILC Business Sch Dept Econ Room 511Wenhui Bldg20 Chengzhong Rd Shanghai 201800 Peoples R China Shanghai Univ Finance & Econ Sch Econ Shanghai Peoples R China Hunan Univ Sch Finance & Stat Changsha Hunan Peoples R China
Understanding and quantifying the dependence of returns and liquidity is critical for liquidity risk management. In this paper the idea of mixed data sampling (MIDAS) is extended from linear correlation in Colacito et... 详细信息
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Exogenous drivers of Bitcoin and Cryptocurrency volatility - A mixed data sampling approach to forecasting
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JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY 2019年 63卷 101133-000页
作者: Walther, Thomas Klein, Tony Bouri, Elie Univ Utrecht Utrecht Sch Econ Kriekenpitpl 21-22 NL-3584 EC Utrecht Netherlands Univ St Gallen Inst Operat Res & Computat Finance St Gallen Switzerland Tech Univ Dresden Fac Business & Econ Dresden Germany Queens Univ Belfast Queens Management Sch Belfast Antrim North Ireland Holy Spirit Univ Kaslik USEK Business Sch Jounieh Lebanon
We apply the GARCH-MIDAS framework to forecast the daily, weekly, and monthly volatility of five highly capitalized Cryptocurrencies (Bitcoin, Etherium, Litecoin, Ripple, and Stellar) as well as the Cryptocurrency ind... 详细信息
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Unrestricted mixed data sampling (MIDAS): MIDAS regressions with unrestricted lag polynomials
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JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES A-STATISTICS IN SOCIETY 2015年 第1期178卷 57-82页
作者: Foroni, Claudia Marcellino, Massimiliano Schumacher, Christian Norges Bank Oslo Norway Bocconi Univ I-20136 Milan Italy Ctr Econ Policy Res London SW1Y 6LA England Deutsch Bundesbank Frankfurt Germany
mixed data sampling (MIDAS) regressions allow us to estimate dynamic equations that explain a low frequency variable by high frequency variables and their lags. When the difference in sampling frequencies between the ... 详细信息
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A novel mixed frequency sampling discrete grey model for forecasting hard disk drive failure
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ISA TRANSACTIONS 2024年 147卷 304-327页
作者: Chen, Rongxing Xiao, Xinping Gao, Mingyun Ding, Qi Wuhan Univ Technol Sch Sci Wuhan 430070 Peoples R China Cent China Normal Univ Sch Informat Management Wuhan 430079 Peoples R China Nanjing Univ Sch Business Nanjing 210008 Peoples R China
The mixed data sampling (MIDAS) model has attracted increasing attention due to its outstanding performance in dealing with mixed frequency data. However, most MIDAS model extension studies are based on statistical me... 详细信息
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Real-time nowcasting the monthly unemployment rates with daily Google Trends data
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SOCIO-ECONOMIC PLANNING SCIENCES 2024年 95卷
作者: Costa, Eduardo Andre Silva, Maria Eduarda Galvao, Ana Beatriz Univ Porto Sch Econ & Management Rua Dr Roberto Frias S-N P-4200464 Porto Portugal Univ Porto INESC TEC LIAAD Campus Fac Engn Rua Dr Roberto Frias P-4200465 Porto Portugal Univ Warwick Dept Econ Gibbet Hill Rd Coventry CV4 7AL England
Policymakers often have to make decisions based on incomplete economic data because of the usual delay in publishing official statistics. To circumvent this issue, researchers use data from Google Trends (GT) as an ea... 详细信息
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Deep learning on mixed frequency data
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JOURNAL OF FORECASTING 2023年 第8期42卷 2099-2120页
作者: Xu, Qifa Wang, Zezhou Jiang, Cuixia Liu, Yezheng Hefei Univ Technol Sch Management Hefei Peoples R China Minist Educ Key Lab Proc Optimizat & Intelligent Decis Making Hefei Peoples R China Hefei Univ Technol Sch Management Tunxi Rd 193 Hefei 230009 Anhui Peoples R China
In deep learning, it is common to encounter data observed at different frequencies. mixed data sampling (MIDAS) is an efficient technique for handling mixed frequency data, where a high frequency predictor is converte... 详细信息
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The effectiveness of fiscal policy in Brazil through the MIDAS Lens
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JOURNAL OF POLICY MODELING 2024年 第1期46卷 113-128页
作者: Alves, Renan Santos Palma, Andreza A. Rabobank Macro Strategist Sao Paulo Brazil Fed Univ Sao Carlos UFSCar Dept Econ Sao Carlos Brazil
This paper aims to examine the effects of fiscal policy on economic growth in Brazil between 1999 and 2017. For this purpose, a novel methodology is applied, using a Vector Autoregressive with mixed Frequency (MIDAS-V... 详细信息
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Asymmetric causality between Bitcoin and tech stocks in the US market using mixed frequency data
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JOURNAL OF ECONOMIC STUDIES 2024年 第3期51卷 569-586页
作者: Valadkhani, Abbas Swinburne Univ Technol Dept Accounting Econ & Finance Hawthorn Australia
PurposeThis study is the first to investigate the causal relationship between Bitcoin and equity price returns by sectors. Previous studies have focused on aggregated indices such as S & P500, Nasdaq and Dow Jones... 详细信息
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Banking Innovation, Financial Inclusion and Economic Growth in Nigeria
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JOURNAL OF THE KNOWLEDGE ECONOMY 2024年 第2期15卷 7014-7043页
作者: Oyadeyi, Olajide Obafemi Awolowo Univ Dept Econ Ife Osun State Nigeria
The paper examined the impacts of financial inclusion and banking innovation on economic growth in Nigeria using monthly and quarterly data from 2009 to 2021. The paper expanded the frontier of knowledge by adopting a... 详细信息
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