Results 21 to 30 of about 95 (83)
Forecasting West Texas Intermediate Crude Oil Price: Stochastic Differential Approach [PDF]
مدلسازی اقتصادسنجی, 2018 Uncertainty in oil markets has led economic researchers to the use of stochastic processes. The purpose of this paper, is the use of stochastic differential models to predict the crude oil price of West Texas Intermediate (WTI) and compare the ...
ramin khochiani, younes nademi
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Impact of return on long-memory data set of volatility of Dhaka Stock Exchange market with the role of financial institutions: an empirical analysis [PDF]
Banks and Bank Systems, 2017 The current study intends to empirically test a relationship between long-memory features in returns and volatility of Dhaka Stock Exchange market.
Muhammad Mahboob Ali +2 more
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An Overview of FIGARCH and Related Time Series Models
Austrian Journal of Statistics, 2016 This paper reviews the theory and applications related to fractionally integrated generalized autoregressive conditional heteroscedastic (FIGARCH) models, mainly for describing the observed persistence in the volatility of a time series.
Maryam Tayefi, T.V. Ramanathan
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Gestão & Produção, 2012 Neste trabalho foram avaliados os ajustes de cinco modelos para previsão da variância, utilizando-se uma série de preços de soja, uma commodity negociada na bolsa de mercadorias de Chicago (CBOT), com dados de alta frequência. Os modelos utilizados foram
Mario Domingues Simões +3 more
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Statistical modelling for forecasting volatility in potato prices using ARFIMA-FIGARCH model
The Indian Journal of Agricultural Sciences, 2018 This paper investigates the presence of long memory both in mean and volatility in the potato prices in Agra and Amritsar markets of India, using the Autoregressive fractionally integrated moving average (ARFIMA) and Fractionally integrated generalized autoregressive conditional heteroscedastic (FIGARCH) models.
DIPANKAR MITRA +2 more
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Do Scarce Precious Metals Equate to Safe Harbor Investments? The Case of Platinum and Palladium
Economics Research International, Volume 2016, Issue 1, 2016., 2016 This research establishes the predictability and safe harbor properties of two scarce precious metals, namely, platinum and palladium. Utilizing their spot prices, the study concludes intermediate memory in the return structures of both precious metals, which implies the instability of platinum and palladium returns’ persistency in the long run ...
John Francis T. Diaz, Jean Paul Chavas
wiley +1 more source
Mathematical Problems in Engineering, Volume 2015, Issue 1, 2015., 2015 The establishment of electrical power system cannot only benefit the reasonable distribution and management in energy resources, but also satisfy the increasing demand for electricity. The electrical power system construction is often a pivotal part in the national and regional economic development plan.
Ping Jiang +3 more
wiley +1 more source
İKİLİ UZUN HAFIZADA ASİMETRİ ETKİSİ: BİST BANKA ÖRNEĞİ
Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 2019 Çalışmanın amacı, Türk bankacılık sektör endeksiningetiri ve volatilitesinde ikili uzun hafıza özelliğini ARFIMA-FIGARCH veARFIMA-FIEGARCH modeli ile inceleyerek etkin piyasalar hipotezini testetmektir. Bu amaçla modelde veri seti olarak 2008-2017 dönemi
Harun Kaya, İsmail Çelik
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International Scholarly Research Notices, Volume 2014, Issue 1, 2014., 2014 The mass and energy‐capital conservation equations are employed to study the time evolution of mass and price of nonrenewable energy resources, extracted and sold to the market, in case of no‐accumulation and no‐depletion, that is, when the resources are extracted and sold to the market at the same mass flow rate.
Fabio Gori, K. Abhary, Y. Demirel
wiley +1 more source
Long memory behavior in the returns of Pakistan stock market: Arfima-Figarch models [PDF]
International Journal of Economics and Financial Issues, 2014 This study examines the weak-form market efficiency of Pakistan Stock Market namely Karachi Stock Exchange for the period 2010-2013. The efficiency of stock market has tested by using ARFIMA-FIGARCH models estimated under different distribution assumptions as Normal, Student-t, Skewed Student-t and GED distribution.
TURKYILMAZ, Serpil, BALIBEY, Mesut
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