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Articles 1 - 9 of 9
Full-Text Articles in Econometrics
Inversion Copulas From Nonlinear State Space Models With An Application To Inflation Forecasting, Michael S. Smith, Worapree Ole Maneesoonthorn
Inversion Copulas From Nonlinear State Space Models With An Application To Inflation Forecasting, Michael S. Smith, Worapree Ole Maneesoonthorn
Michael Stanley Smith
Real-Time Macroeconomic Forecasting With A Heteroskedastic Inversion Copula, Ruben Loaiza-Maya, Michael S. Smith
Real-Time Macroeconomic Forecasting With A Heteroskedastic Inversion Copula, Ruben Loaiza-Maya, Michael S. Smith
Michael Stanley Smith
Time Series Copulas For Heteroskedastic Data, Ruben Loaiza-Maya, Michael S. Smith, Worapree Maneesoonthorn
Time Series Copulas For Heteroskedastic Data, Ruben Loaiza-Maya, Michael S. Smith, Worapree Maneesoonthorn
Michael Stanley Smith
Econometric Modeling Of Regional Electricity Spot Prices In The Australian Market, Michael S. Smith, Thomas S. Shively
Econometric Modeling Of Regional Electricity Spot Prices In The Australian Market, Michael S. Smith, Thomas S. Shively
Michael Stanley Smith
Variational Bayes Estimation Of Discrete-Margined Copula Models With Application To Ime Series, Ruben Loaiza-Maya, Michael S. Smith
Variational Bayes Estimation Of Discrete-Margined Copula Models With Application To Ime Series, Ruben Loaiza-Maya, Michael S. Smith
Michael Stanley Smith
Asymmetric Forecast Densities For U.S. Macroeconomic Variables From A Gaussian Copula Model Of Cross-Sectional And Serial Dependence, Michael S. Smith, Shaun Vahey
Asymmetric Forecast Densities For U.S. Macroeconomic Variables From A Gaussian Copula Model Of Cross-Sectional And Serial Dependence, Michael S. Smith, Shaun Vahey
Michael Stanley Smith
Some Matlab Routines To Compute Crps And Quantile Weighted Ps, Michael S. Smith
Some Matlab Routines To Compute Crps And Quantile Weighted Ps, Michael S. Smith
Michael Stanley Smith
Three routines to compute the CRPS of Gneiting and Raftery (JASA 2007) and the quantile weighted probability score (QWPS) extension in Gneiting and Ranjan (JBES, 2011). They are based on numerical integration as discussed in the Appendix of Smith and Vahey (2015), and I have found them to be much more accurate than using Monte Carlo approximation to the difference of two expectations, as advocated in Panagiotelis and Smith (IJF, 2008).
Copula Modelling Of Dependence In Multivariate Time Series, Michael S. Smith
Copula Modelling Of Dependence In Multivariate Time Series, Michael S. Smith
Michael Stanley Smith
From Amazon To Apple: Modeling Online Retail Sales, Purchase Incidence And Visit Behavior, Anastasios Panagiotelis, Michael S. Smith, Peter Danaher
From Amazon To Apple: Modeling Online Retail Sales, Purchase Incidence And Visit Behavior, Anastasios Panagiotelis, Michael S. Smith, Peter Danaher
Michael Stanley Smith
In this study we propose a multivariate stochastic model for website visit duration, page views, purchase incidence and the sale amount for online retailers. The model is constructed by composition from carefully selected distributions, and involves copula components. It allows for the strong nonlinear relationships between the sales and visit variables to be explored in detail, and can be used to construct sales predictions. The model is readily estimated using maximum likelihood, making it an attractive choice in practice given the large sample sizes that are commonplace in online retail studies. We examine a number of top-ranked U.S. online retailers, …