Imagen de Portada

Quantile-Frequency Analysis and Spectral Measures for Diagnostic Checks of Time Series With Nonlinear Dynamics

Fuente: arXiv

Guardado en:

Detalles Bibliográficos
Autor principal:	Li, Ta-Hsin
Formato:	Preprint
Publicado:	2019
Materias:	Statistical Finance Methodology
Acceso en línea:	Acceder al recurso
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

Ejemplares similares

Quantile Predictions for Equity Premium using Penalized Quantile Regression with Consistent Variable Selection across Multiple Quantiles
por: Li, Shaobo, et al.
Publicado: (2025)

Bayesian Testing Of Granger Causality In Functional Time Series
por: Sen, Rituparna, et al.
Publicado: (2021)

Directional-Shift Dirichlet ARMA Models for Compositional Time Series with Structural Break Intervention
por: Katz, Harrison
Publicado: (2026)

When Frictions are Fractional: Rough Noise in High-Frequency Data
por: Chong, Carsten H., et al.
Publicado: (2021)

Quantile Fourier Transform, Quantile Series, and Nonparametric Estimation of Quantile Spectra
por: Li, Ta-Hsin
Publicado: (2022)

Modeling Dynamic Correlation Matrices with Shrinkage Priors
por: Coulson, Daniel Andrew, et al.
Publicado: (2026)

Institutional Differences, Crisis Shocks, and Volatility Structure: A By-Window EGARCH/TGARCH Analysis of ASEAN Stock Markets
por: Yang, Junlin
Publicado: (2025)

Supervised Dynamic PCA: Linear Dynamic Forecasting with Many Predictors
por: Gao, Zhaoxing, et al.
Publicado: (2023)

Sparse Asymptotic PCA: Identifying Sparse Latent Factors Across Time Horizon in High-Dimensional Time Series
por: Gao, Zhaoxing
Publicado: (2024)

Quantile deep learning models for multi-step ahead time series prediction
por: Cheung, Jimmy, et al.
Publicado: (2024)

A Dynamic Spatiotemporal and Network ARCH Model with Common Factors
por: Doğan, Osman, et al.
Publicado: (2024)

Change-point estimation for Weibull time series with copula-based Markov models
por: Sun, Li-Hsien, et al.
Publicado: (2026)

Bayesian Analysis of High Dimensional Vector Error Correction Model
por: Yang, Parley R, et al.
Publicado: (2023)

Scores for Multivariate Distributions and Level Sets
por: Meng, Xiaochun, et al.
Publicado: (2020)

Self and mutually exciting point process embedding flexible residuals and intensity with discretely Markovian dynamics
por: Lee, Kyungsub
Publicado: (2024)

Modelling financial returns with mixtures of generalized normal distributions
por: Duttilo, Pierdomenico
Publicado: (2024)

Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros
por: Blasques, Francisco, et al.
Publicado: (2018)

Hidden Markov graphical models with state-dependent generalized hyperbolic distributions
por: Foroni, Beatrice, et al.
Publicado: (2024)

Crossing penalised CAViaR
por: Szendrei, Tibor
Publicado: (2025)

Causal Regime Detection in Energy Markets With Augmented Time Series Structural Causal Models
por: Thumm, Dennis
Publicado: (2025)

High-Frequency Market Manipulation Detection with a Markov-modulated Hawkes process
por: Fabre, Timothée, et al.
Publicado: (2025)

Centered-Innovation MA for Bayesian Dirichlet ARMA: Theoretical Equivalence and an Application to Bank-Asset Shares
por: Katz, Harrison
Publicado: (2025)

On the Three Demons in Causality in Finance: Time Resolution, Nonstationarity, and Latent Factors
por: Dong, Xinshuai, et al.
Publicado: (2023)

Multi-regime Markov-switching models with time-varying transition probabilities: An application to U.S. Treasury yields
por: Modée, Samuel, et al.
Publicado: (2026)

Probabilistic Predictions of Option Prices with Modular Approximate Bayesian Inference
por: Maneesoonthorn, Worapree, et al.
Publicado: (2024)

A Note on the Asymptotic Properties of the GLS Estimator in Multivariate Regression with Heteroskedastic and Autocorrelated Errors
por: Moriya, Koichiro, et al.
Publicado: (2025)

Holistic Multi-Scale Inference of the Leverage Effect: Efficiency under Dependent Microstructure Noise
por: Xiong, Ziyang, et al.
Publicado: (2025)

Change point detection in dynamic Gaussian graphical models: the impact of COVID-19 pandemic on the US stock market
por: Franzolini, Beatrice, et al.
Publicado: (2022)

Kernel Three Pass Regression Filter
por: Jat, Rajveer, et al.
Publicado: (2024)

Short-time expansion of characteristic functions in a rough volatility setting with applications
por: Chong, Carsten H., et al.
Publicado: (2022)

High-Dimensional Mean-Variance Spanning Tests
por: Ardia, David, et al.
Publicado: (2024)

Block-diagonal idiosyncratic covariance estimation in high-dimensional factor models for financial time series
por: Žignić, Lucija, et al.
Publicado: (2024)

Quantile-Crossing Spectrum and Spline Autoregression Estimation
por: Li, Ta-Hsin
Publicado: (2024)

Spline Autoregression Method for Estimation of Quantile Spectrum
por: Li, Ta-Hsin
Publicado: (2024)

Ledoit-Wolf linear shrinkage with unknown mean
por: Oriol, Benoit, et al.
Publicado: (2023)

Spline Quantile Regression with Cubic and Linear Smoothing Splines
por: Li, Ta-Hsin
Publicado: (2026)

Latent Factor Analysis in Short Panels
por: Fortin, Alain-Philippe, et al.
Publicado: (2023)

Nonparametric Estimation of Self- and Cross-Impact
por: Hey, Natascha, et al.
Publicado: (2025)

Order-Flow Filtration and Directional Association with Short-Horizon Returns
por: Anantha, Aditya Nittur, et al.
Publicado: (2025)

When can weak latent factors be statistically inferred?
por: Fan, Jianqing, et al.
Publicado: (2024)