| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Multivariate Random Walk Model with Slowly Changing Drift and Cross-correlation Applied to Finance |
0 |
0 |
0 |
131 |
2 |
3 |
15 |
620 |
| A bootstrap bandwidth selector for local polynomial fitting |
0 |
0 |
0 |
10 |
0 |
1 |
15 |
53 |
| A data-driven P-spline smoother and the P-Spline-GARCH models |
0 |
0 |
1 |
31 |
0 |
1 |
14 |
44 |
| A local dynamic conditional correlation model |
0 |
1 |
1 |
142 |
0 |
2 |
14 |
414 |
| A robust data-driven version of the Berlin Method |
0 |
0 |
0 |
60 |
0 |
0 |
5 |
612 |
| A semi-APARCH approach for comparing long-term and short-term risk in Chinese financial market and in mature financial markets |
0 |
0 |
0 |
71 |
0 |
1 |
11 |
172 |
| A semiparametric spatial FARIMA applied in the presence of spatial seasonality |
0 |
1 |
4 |
4 |
0 |
4 |
12 |
12 |
| A simple root n bandwidth selector for nonparametric regression |
0 |
0 |
0 |
3 |
0 |
0 |
10 |
33 |
| A tree-form constant market share analysis for modelling growth causes in international trade |
0 |
0 |
0 |
13 |
0 |
0 |
13 |
88 |
| A tree-form constant market share model for growth causes in international trade based on multi-level classification |
0 |
0 |
0 |
15 |
0 |
1 |
14 |
115 |
| An Iterative Plug-In Algorithm for Nonparametric Modelling of Seasonal Time Series |
0 |
0 |
1 |
31 |
0 |
1 |
9 |
144 |
| An extended exponential SEMIFAR model with application in R |
0 |
1 |
3 |
176 |
1 |
2 |
18 |
302 |
| An iterative plug-in algorithm for P-Spline regression |
0 |
0 |
0 |
25 |
0 |
1 |
11 |
42 |
| An iterative plug-in algorithm for decomposing seasonal time series using the Berlin Method |
0 |
0 |
0 |
11 |
0 |
1 |
7 |
46 |
| An iterative plug-in algorithm for realized kernels |
0 |
0 |
2 |
45 |
0 |
0 |
10 |
111 |
| Boundary modification in local polynomial regression* |
0 |
0 |
3 |
59 |
0 |
1 |
31 |
192 |
| Changes of China's agri-food exports to Germany caused by its accession to WTO and the 2008 financial crisis |
0 |
0 |
0 |
23 |
0 |
0 |
10 |
120 |
| Data-driven estimation of diurnal duration patterns |
0 |
0 |
0 |
17 |
0 |
3 |
10 |
67 |
| Data-driven estimation of semiparametric fractional autoregressive models |
0 |
0 |
0 |
39 |
0 |
0 |
10 |
181 |
| Data-driven local polynomial for the trend and its derivatives in economic time series |
0 |
0 |
2 |
127 |
0 |
1 |
23 |
194 |
| Data-driven optimal decomposition of time series |
0 |
0 |
0 |
7 |
0 |
0 |
12 |
39 |
| Diagnosing the trend and bootstrapping the forecasting intervals using a semiparametric ARMA |
0 |
0 |
2 |
2 |
0 |
4 |
9 |
9 |
| Double-conditional smoothing of high-frequency volatility surface in a spatial multiplicative component GARCH with random effects |
0 |
0 |
1 |
60 |
0 |
1 |
13 |
123 |
| Dual-trend and dual long-memory time series modelling |
4 |
7 |
11 |
11 |
2 |
7 |
14 |
14 |
| Estimating, Forecasting and Backtesting a Family of Exponential and Other GARCH Models Using the fEGarch Package |
0 |
1 |
7 |
7 |
1 |
6 |
17 |
17 |
| FIEGARCH, modulus asymmetric FILog-GARCH and trend-stationary dual long memory time series |
2 |
4 |
36 |
165 |
6 |
17 |
124 |
273 |
| Fast Computation and Bandwidth Selection Algorithms for Smoothing Functional Time Series* |
0 |
0 |
3 |
80 |
0 |
0 |
18 |
188 |
| Filtered Log-periodogram Regression of long memory processes |
0 |
0 |
0 |
54 |
0 |
0 |
8 |
113 |
| Forecasting economic growth with traditional methods and a simple neural network model |
0 |
1 |
2 |
2 |
3 |
4 |
12 |
12 |
| Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD |
1 |
1 |
1 |
78 |
1 |
4 |
16 |
150 |
| Forecasting of trend stationary time series in SAP using a data-driven semiparametric ARMA model |
1 |
1 |
1 |
1 |
0 |
0 |
0 |
0 |
| Forecasting of trend stationary time series in SAP using a data-driven semiparametric ARMA model |
1 |
1 |
1 |
1 |
1 |
2 |
2 |
2 |
| Fractionally integrated Log-GARCH with application to value at risk and expected shortfall |
0 |
4 |
21 |
214 |
0 |
9 |
66 |
523 |
| Growth Trends and Systematic Patterns of Booms and Busts - Testing 200 Years of Business Cycle Dynamics - |
0 |
0 |
0 |
64 |
0 |
0 |
12 |
138 |
| Impact of China's accession to WTO and the financial crisis on China's exports to Germany |
0 |
0 |
0 |
17 |
0 |
2 |
14 |
89 |
| Iterative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties |
0 |
0 |
1 |
52 |
0 |
0 |
9 |
226 |
| Kernel Dependent Functions in Nonparametric Regression with Fractional Time Series Errors |
0 |
0 |
0 |
16 |
0 |
2 |
6 |
76 |
| Local Polynomial Estimation with a FARIMA-GARCH Error Process |
0 |
0 |
0 |
234 |
0 |
0 |
10 |
1,000 |
| Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent errors |
0 |
0 |
0 |
132 |
0 |
1 |
10 |
558 |
| Modelling Different Volatility Components |
0 |
0 |
0 |
76 |
0 |
0 |
10 |
201 |
| Modelling financial time series with SEMIFAR-GARCH model |
0 |
0 |
0 |
82 |
0 |
1 |
10 |
165 |
| Modelling financial time series with SEMIFAR-GARCH model |
0 |
0 |
0 |
160 |
0 |
1 |
11 |
440 |
| Modifying the double smoothing bandwidth selector in nonparametric regression |
0 |
0 |
0 |
69 |
1 |
2 |
7 |
373 |
| Nonparametric estimation of time-varying covariance matrix in a slowly changing vector random walk model |
0 |
0 |
1 |
123 |
6 |
7 |
26 |
367 |
| On robust local polynomial estimation with long-memory errors |
0 |
0 |
0 |
117 |
0 |
0 |
13 |
456 |
| On robust local polynominal estimation with long-memory errors |
0 |
0 |
0 |
3 |
0 |
0 |
10 |
30 |
| On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations |
0 |
0 |
0 |
56 |
0 |
0 |
10 |
136 |
| Optimal Convergence Rates in Nonparametric Regression with Fractional Time Series Errors |
0 |
0 |
0 |
33 |
0 |
1 |
11 |
134 |
| Optimal convergence rates in nonparametric regression with fractional time series errors |
0 |
0 |
0 |
20 |
0 |
0 |
6 |
96 |
| Recent Developments in Non- and Semiparametric Regression with Fractional Time Series Errors |
0 |
0 |
0 |
47 |
0 |
3 |
8 |
153 |
| SEMIFAR Models, with Applications to Commodities, Exchange Rates and the Volatility of Stock Market Indices |
0 |
0 |
0 |
209 |
0 |
1 |
4 |
697 |
| SEMIFAR models |
0 |
0 |
0 |
14 |
1 |
2 |
10 |
64 |
| Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall |
0 |
1 |
3 |
130 |
0 |
9 |
39 |
355 |
| Short- and long-term impact of remarkable economic events on the growth causes of China-Germany trade in agri-food products |
0 |
0 |
0 |
11 |
0 |
1 |
14 |
123 |
| Simultaneously Modelling Conditional Heteroskedasticity and Scale Change |
0 |
0 |
0 |
50 |
1 |
2 |
12 |
181 |
| Supplement to the Paper "Interative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties": Detailed Simulation Results |
0 |
0 |
0 |
17 |
0 |
0 |
10 |
149 |
| Time series forecasting in SAP using a data-driven seasonal semiparametric ARMA model |
1 |
1 |
1 |
1 |
1 |
1 |
1 |
1 |
| Uni- and multivariate extensions of the sinh-arcsinh normal distribution applied to distributional regression |
0 |
0 |
1 |
46 |
2 |
5 |
30 |
114 |
| Well-known and recent long-memory GARCH models and their semiparametric extensions |
6 |
13 |
13 |
13 |
6 |
18 |
18 |
18 |
| Total Working Papers |
16 |
38 |
123 |
3,507 |
35 |
136 |
894 |
11,365 |
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