Modeling and Forecasting the Multivariate Realized Volatility of Financial Markets with Time-Varying Sparsity
Sign Up to like & getrecommendations! Published in 2019 at "Emerging Markets Finance and Trade"
DOI: 10.1080/1540496x.2019.1567264
Abstract: ABSTRACT We develop a Multivariate Heterogeneous Autoregressive (MHAR) model with time-varying sparsity (TVS), or the TVS-MHAR-X model, to model and forecast the realized covariance matrices by employing the data from China’s financial markets. We employ… read more here.
Keywords: time; financial markets; varying sparsity; model ... See more keywords
Exploiting Rapidly Time-Varying Sparsity for Underwater Acoustic Communication
Sign Up to like & getrecommendations! Published in 2022 at "IEEE Transactions on Vehicular Technology"
DOI: 10.1109/tvt.2022.3181801
Abstract: Due to the combined effects of different acoustic propagation, reflection patterns in different time-scale, time-varying underwater acoustic (UWA) channel generally exhibits hybrid sparsity, i.e., contains not only rapidly time-varying elements, but also stationary or slowly… read more here.
Keywords: rapidly time; time; underwater acoustic; time varying ... See more keywords