Forecasting with artificial neural networks:: The state of the art
Interest in using artificial neural networks (ANNs) for forecasting has led to a tremendous
surge in research activities in the past decade. While ANNs provide a great deal of promise …
surge in research activities in the past decade. While ANNs provide a great deal of promise …
The evolution of stock market efficiency over time: A survey of the empirical literature
This paper provides a systematic review of the weak‐form market efficiency literature that
examines return predictability from past price changes, with an exclusive focus on the stock …
examines return predictability from past price changes, with an exclusive focus on the stock …
[HTML][HTML] The effects of central bank digital currencies news on financial markets
Based on coverage of over 660m news stories from LexisNexis News & Business between
2015–2021, we provide two new indices around the growing area of Central Bank Digital …
2015–2021, we provide two new indices around the growing area of Central Bank Digital …
Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets
This paper examines spillover effects among six commodity futures markets–gold, silver,
West Texas Intermediate crude oil, corn, wheat, and rice–by employing the multivariate …
West Texas Intermediate crude oil, corn, wheat, and rice–by employing the multivariate …
Carbon prices forecasting in quantiles
This paper proposes two new methods (the Quantile Group LASSO and the Quantile Group
SCAD models) to evaluate the predictability of a large group of factors on carbon futures …
SCAD models) to evaluate the predictability of a large group of factors on carbon futures …
[图书][B] Applied time series analysis: A practical guide to modeling and forecasting
TC Mills - 2019 - books.google.com
Written for those who need an introduction, Applied Time Series Analysis reviews
applications of the popular econometric analysis technique across disciplines. Carefully …
applications of the popular econometric analysis technique across disciplines. Carefully …
Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method
This study combines the variational mode decomposition (VMD) method and static and time-
varying symmetric and asymmetric copula functions to examine the dependence structure …
varying symmetric and asymmetric copula functions to examine the dependence structure …
[图书][B] Statistical and econometric methods for transportation data analysis
The book's website (with databases and other support materials) can be accessed here.
Praise for the Second Edition: The second edition introduces an especially broad set of …
Praise for the Second Edition: The second edition introduces an especially broad set of …
[图书][B] GARCH models: structure, statistical inference and financial applications
C Francq, JM Zakoian - 2019 - books.google.com
Provides a comprehensive and updated study of GARCH models and their applications in
finance, covering new developments in the discipline This book provides a comprehensive …
finance, covering new developments in the discipline This book provides a comprehensive …
Dynamic connectedness between oil prices and stock returns of clean energy and technology companies
This study employs wavelet coherency, phase differences and spillover analysis to examine
the dynamic connectedness between oil prices and stock returns of clean energy and …
the dynamic connectedness between oil prices and stock returns of clean energy and …