Zobrazeno 1 - 7
of 7
pro vyhledávání: '"Manveer Kaur Mangat"'
Publikováno v:
Data Science in Finance and Economics, Vol 2, Iss 4, Pp 437-463 (2022)
In this paper, we examine the usefulness of machine learning methods such as support vector machines, random forests and bagging for the extraction of information from the limit order book that can be used for intraday trading. For our empirical anal
Externí odkaz:
https://doaj.org/article/5b35ffb3afba46689db6ec49c592b427
Publikováno v:
Econometrics, Vol 8, Iss 3, p 28 (2020)
The goal of this paper is to search for conclusive evidence against the stationarity of the global air surface temperature, which is one of the most important indicators of climate change. For this purpose, possible long-range dependencies are invest
Externí odkaz:
https://doaj.org/article/f9385cdc8146404786cd5ed9e5af2cd9
Publikováno v:
Journal of Empirical Finance. 59:133-153
The main problem in volatility forecasting is that the variable of interest is unobservable, which complicates not only the construction of forecasts but also their comparison. This article challenges the common practice of using only proxy-robust lo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2b79df0d61d23f9d5e9ca1bc5742eab4
https://doi.org/10.1016/j.jempfin.2020.09.006
https://doi.org/10.1016/j.jempfin.2020.09.006
Publikováno v:
Theoretical Economics Letters. 10:47-68
In this paper, it is proposed to estimate the memory parameter of a potentially long-range dependent time series by applying goodness-of-fit tests to the cumulative normalized periodogram in the neighborhood of frequency zero. The results of an exten
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b39fb83a42648f42f6e7688a04e23cbf
https://doi.org/10.4236/tel.2020.101004
https://doi.org/10.4236/tel.2020.101004
In this paper, it is shown that the performance of various frequency-domain estimators of the memory parameter can be boosted by the inclusion of non-Fourier frequencies in addition to the regular Fourier frequencies. A fast two-stage algorithm for t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d101c09f8ba90828871521e380eeceaf
https://hdl.handle.net/11353/10.1218274
https://hdl.handle.net/11353/10.1218274
We propose new tests for testing hypotheses about the memory parameter that are based on ratios of periodogram ordinates. They are highly robust against conditional heteroskedasticity and outliers ...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f57d71e5129e84addea86b1ff9d93205
https://doi.org/10.1080/03610926.2019.1709646
https://doi.org/10.1080/03610926.2019.1709646
The results of recent replication studies suggest that false positive findings are a big problem in empirical finance. We contribute to this debate by reviewing a sample of articles dealing with the short‐term directional forecasting of the prices
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c3532465b76d4ff8fb3346565793fd40
https://doi.org/10.1002/for.2629
https://doi.org/10.1002/for.2629