No articles match
Automatic Selection and Ensembling21 hours ago
Introduction | Advanced Retail Sales | Model Selection | Prediction and Ensembling | Conclusion
Package Demo1 months ago
Estimation | Simulation and Prediction | Conclusion
The Innovations State Space Model1 years ago
Regular Spacings and Seasonality1 years ago
Introduction | Data Investigation | Naive Approach (Irregular Time Base) | Correct Approach (Regular Time Base with Missing Values) | Re-estimating with Regularized Calendar Time | Evaluation | Conclusion
Filtering and Prediction1 years ago
Introduction | Demonstration | Estimation | Rolling Forecasts via Online Filtering | Filtering vs Forecasting at Horizon ( h = 1 ) | Visual Comparison | Conclusion
Variance Dynamics1 years ago
Introduction | SPY Closing Price | Model Summary | Visuals | Conclusion | References
Auxiliary Time Series Functions1 years ago
Introduction | Anomaly Generation and Detection | Data Transformations | Metrics | Simulation | Calendar/Time Utilities | Miscellaneous | References
Constant correlation test2 years ago
Background | Demo | Conclusion | References
tsmarch demo2 years ago
Introduction | GOGARCH Dynamics | Model Specification and Estimation | Filtering | Conditional Co-moments | Weighted Portfolio Distribution | DCC Dynamics | Filtering | Copula with DCC Dynamics | Conditional Mean Dynamics | Method 1: Conditional Mean Re-centering | Method 2: Innovation Distribution Injection | Method Comparison
Feasible Multivariate GARCH Models2 years ago
Introduction | Covariance Decomposition Models (dcc and cgarch) | Constant Correlation | Dynamic Conditional Correlation | Estimation | Standard Errors | Distributions | Multivariate Student Distribution (mvt) | Copula Distribution (cgarch) | Generalized Dynamics | Forecasting and Simulation | Weighted Distribution | News Impact Surface | Critique | Generalized Orthogonal GARCH Model (gogarch) | Estimation | Co-Moments | Weighted Distribution | Factor News Impact Surface | Methods and Classes | Appendix | Correlation and Kendall's $\tau$ | Notes on Selected Methods | References
Time Series Tests2 years ago
Introduction | Goodness of Fit Tests | GMM Orthogonality | Non Parametric Density Test | Parameter Constancy | Sign Bias | Forecast Evaluation Tests | Density Forecast | Directional Accuracy | Forecast Unbiasedness | Expected Shortfall | The Unconditional Test | The Conditional Test | Example | Value at Risk: Coverage and Duration | Proportion of Failures (UC) | Independence of Failures (CCI) | Conditional Coverage (CC) | Duration between Failures (D) | References
Benchmark2 years ago
GARCH Models2 years ago
Estimation Demo2 years ago
Location Scale Distributions2 years ago
Introduction | Implemented Distributions | Normal Distribution ($\mu$, $\sigma$) | Student's t Distribution ($\mu$, $\sigma$, $\nu$) | Generalized Error Distribution ($\mu$, $\sigma$, $\nu$) | Skewed Distributions by Inverse Scale Factors | Johnson's SU Distribution ($\mu$, $\sigma$, $\xi$, $\nu$) | The Generalized Hyperbolic Distribution ($\mu$, $\sigma$, $\xi$, $\nu$, $\lambda$) | The Generalized Hyperbolic Skew Student Distribution ($\mu$, $\sigma$, $\xi$, $\nu$) | References
Profile Demo2 years ago
Semi-Parametric Distribution Demo2 years ago