Ordinal-response GARCH models for transaction data: A forecasting exercise
Sign Up to like & getrecommendations! Published in 2019 at "International Journal of Forecasting"
DOI: 10.1016/j.ijforecast.2019.02.016
Abstract: We use numerous high-frequency transaction data sets to evaluate the forecasting performances of several dynamic ordinal-response time series models with generalized autoregressive conditional heteroscedasticity (GARCH). The specifications account for three components: leverage effects, in-mean effects… read more here.
Keywords: response; transaction data; response garch; garch models ... See more keywords
On exploratory analytic method for multi-way contingency tables with an ordinal response variable and categorical explanatory variables
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Multivariate Analysis"
DOI: 10.1016/j.jmva.2021.104793
Abstract: Abstract In this paper, we propose a new model-free exploratory method for descriptive modeling that identifies and measures the regression dependence between an ordinal response variable and categorical (ordinal or nominal) explanatory variables in a… read more here.
Keywords: checkerboard copula; response variable; explanatory variables; copula ... See more keywords