Search results for " autocorrelation"
showing 4 items of 24 documents
Diversity of the selected elements of agricultural potential in the European Union countries
2020
Agricultural importance in determining the directions of respective regions results from its production potential. The agricultural potential of a given country is determined by natural resources, ways of using them, natural conditions, workforce resources, technical resources and basic economic conditions. In this paper, only income and rural population are taken under consideration to describe the agricultural potential. Currently, European Union countries are functioning under the assumptions of the Common Agricultural Policy, assuming, among other things, increasing agricultural productivity, ensuring an adequate standard of living for the rural population and stabilising markets. The E…
Changes in spatial and sectoral patterns of employment in Ile-de-France, 1978-1997
2006
International audience; This paper investigates the spatial distribution of employment in the region of Ile-de-France in 1978 and 1997. Exploratory spatial data analysis is used to identify employment centres and a sectoral analysis of the central business district (CBD) and sub-centres is performed. The results highlight a process of suburbanisation of employment in Ile-de-France between 1978 and 1997. A more polarised space emerges in 1997 than in 1978, with several employment centres specialised in different activities. Moreover, even if the spatial influence of the CBD declines over the study period, the CBD maintains its economic leadership by concentrating a large variety of high-orde…
ICA and stochastic volatility models
2016
We consider multivariate time series where each component series is an unknown linear combination of latent mutually independent stationary time series. Multivariate financial time series have often periods of low volatility followed by periods of high volatility. This kind of time series have typically non-Gaussian stationary distributions, and therefore standard independent component analysis (ICA) tools such as fastICA can be used to extract independent component series even though they do not utilize any information on temporal dependence. In this paper we review some ICA methods used in the context of stochastic volatility models. We also suggest their modifications which use nonlinear…
MODELING OF VOLATILITY IN THE ROMANIAN CAPITAL MARKET
2012
This paper aims to analyze the volatility of capital market in Romania by selecting a portfolio of representative indices (BET BET_FI and RASDAQ_C). In this respect, we want to identify the most appropriate model to estimate volatility by using modern econometric tools and useful GARCH models respectively. The study results highlight that EGARCH(1,1) model has managed to eliminate all traces of statistically significant autocorrelation and ARCH effects from the residuals from daily series, giving an accurate image of the Romanian capital market volatility.