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圆周时间序列建模AI 解读

Circular variables often play an important role in the construction of models for analysing and forecasting the consequences of climate change and its impact on the environment. Such variables pose special problems for time series modelling. This article shows how the score-driven approach, developed primarily in econometrics, provides a natural solution to the difficulties and leads to a coherent and unified methodology for estimation, model selection and testing. The new…

已实现波动率的得分驱动模型AI 解读

This paper sets up a statistical framework for modeling realized volatility (RV) using a Dynamic Conditional Score (DCS) model. It first shows how, for a dataset on stock indices, a preliminary analysis of RV, based on fitting a linear Gaussian model to its logarithm, suggests the use of a two component dynamic specification. It also indicates a departure from normality, a weekly pattern in the data and the presence of heteroscedasticity. Fitting the two component DCS…