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   Articles with "frequency data" as a keyword



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Why you should use high frequency data to test the impact of exchange rate on trade

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recommendations! Published in 2018 at "Applied Economics Letters"

DOI: 10.1007/978-3-319-70055-7_21

Abstract: This study suggests that testing the impact of exchange rate on trade should be done using high frequency data. Using different data frequencies for identical periods and specifications between the US and Canada, we show… read more here.

Keywords: frequency data; impact exchange; rate trade; exchange rate ... See more keywords
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Dynamic hedging with futures: a copula-based GARCH model with high-frequency data

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recommendations! Published in 2018 at "Review of Derivatives Research"

DOI: 10.1007/s11147-018-9142-1

Abstract: Modeling the joint distribution of spot and futures returns is crucial for establishing optimal hedging strategies. This paper proposes a new class of dynamic copula-GARCH models that exploits information from high-frequency data for hedge ratio… read more here.

Keywords: high frequency; frequency data; model; garch ... See more keywords
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Structural analysis with mixed-frequency data: A model of US capital flows

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recommendations! Published in 2020 at "Economic Modelling"

DOI: 10.1016/j.econmod.2019.11.010

Abstract: Abstract We develop a new structural Vector Autoregressive (SVAR) model for analysis with mixed-frequency data. The MIDAS-SVAR model allows to identify structural dynamic links exploiting the information contained in variables sampled at different frequencies. It… read more here.

Keywords: mixed frequency; frequency data; frequency; model ... See more keywords
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A fast online load identification algorithm based on V-I characteristics of high-frequency data under user operational constraints

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recommendations! Published in 2019 at "Energy"

DOI: 10.1016/j.energy.2019.116012

Abstract: Abstract Non-intrusive load monitoring is an effective way for the power grid to obtain the power consumption on the user side. High-frequency data acquisition mode can provide more load information with a large amount of… read more here.

Keywords: high frequency; frequency data; identification; fast online ... See more keywords
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Improving mortality models in the ICU with high-frequency data

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recommendations! Published in 2019 at "International journal of medical informatics"

DOI: 10.1016/j.ijmedinf.2019.07.002

Abstract: BACKGROUND Assessment of the performance of Intensive Care Units (ICU) is of vital importance for an effective healthcare system. Such assessment ensures that the limited resources of the healthcare system are allocated where they are… read more here.

Keywords: high frequency; scoring systems; frequency; frequency data ... See more keywords
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Inference from High-Frequency Data: A Subsampling Approach

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recommendations! Published in 2017 at "Journal of Econometrics"

DOI: 10.1016/j.jeconom.2016.07.010

Abstract: In this paper, we show how to estimate the asymptotic (conditional) covariance matrix, which appears in central limit theorems in high-frequency estimation of asset return volatility. We provide a recipe for the estimation of this… read more here.

Keywords: high frequency; frequency data; frequency; subsampling approach ... See more keywords
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Adaptive testing method for ergodic diffusion processes based on high frequency data

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recommendations! Published in 2022 at "Journal of Statistical Planning and Inference"

DOI: 10.1016/j.jspi.2021.08.004

Abstract: We consider parametric tests for multidimensional ergodic diffusions based on high frequency data. We propose two-step testing method for diffusion parameters and drift parameters. To construct test statistics of the tests, we utilize the adaptive… read more here.

Keywords: based high; high frequency; testing method; frequency data ... See more keywords
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Principal Component Analysis of High-Frequency Data

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recommendations! Published in 2018 at "Journal of the American Statistical Association"

DOI: 10.1080/01621459.2017.1401542

Abstract: ABSTRACT We develop the necessary methodology to conduct principal component analysis at high frequency. We construct estimators of realized eigenvalues, eigenvectors, and principal components, and provide the asymptotic distribution of these estimators. Empirically, we study… read more here.

Keywords: high frequency; component analysis; frequency data; principal component ... See more keywords
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On the number of common factors with high‐frequency data

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recommendations! Published in 2017 at "Biometrika"

DOI: 10.1093/biomet/asx014

Abstract: &NA; In this paper, we introduce a local principal component analysis approach to determining the number of common factors of a continuous‐time factor model with time‐varying factor loadings using high‐frequency data. The model is approximated… read more here.

Keywords: number common; high frequency; frequency data; common factors ... See more keywords
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Estimating growth parameters and growth variability from length frequency data using hierarchical mixture models

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recommendations! Published in 2019 at "ICES Journal of Marine Science"

DOI: 10.1093/icesjms/fsz103

Abstract: Analysis of length frequency distributions from surveys is one well-known method for obtaining growth parameter estimates where direct age estimates are not available. We present a likelihood-based procedure that uses mixture models and the expectation–maximization… read more here.

Keywords: length frequency; growth parameters; growth; mixture models ... See more keywords
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Loss of low-frequency data in on- line frequency response analysis of transformers

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recommendations! Published in 2017 at "IEEE Electrical Insulation Magazine"

DOI: 10.1109/mei.2017.8014389

Abstract: Power transformers are a key component of the electricity supply grid. Monitoring and assessment of their condition has always been of great concern [1]. In critical situations, transformer failures can cause irreversible damage and considerable… read more here.

Keywords: frequency data; frequency; data line; low frequency ... See more keywords