Results 61 to 70 of about 10,989,864 (91)

The Use of Weather Variables in the Modeling of Demand for Electricity in One of the Regions in the Southern Poland [PDF]

The main objective of the paper is the verification of usefulness of the ARFIMA-FIGARCH class models in the description of tendencies in the energy consumption in a selected region of the southern Poland taking into consideration weather variables ...
Marcin Zawada, Aneta Wlodarczyk
core  

DeepVol: volatility forecasting from high-frequency data with dilated causal convolutions. [PDF]

Quant Finance
Moreno-Pino F, Zohren S.
europepmc   +1 more source

Hybrid Fourier asymmetric-garch estimation of value at risk and expected shortfall: Empirical evidence from crude oil prices. [PDF]

Heliyon
Doabil L, Nasiru S, Iddrisu MM.
europepmc   +1 more source

The Effects of Turkish Central Bank's Interventions Over Currency Rate Volatility [PDF]

This study aims to identify and analyze the effects of Turkish Central Bank's interventions over currency rate volatility. US Dolar and Euro Returns of Turkish Lira between 04.01.1999 and 24.09.2008 are modelled in the study. Econometric methods used are
K. Batu Tunay
core  

Dual long memory property in returns and volatility: Evidence from the CEE countries' stock markets

This paper investigates the presence of long memory in the eight Central and Eastern European (CEE) countries' stock market, using the ARFIMA, GPH, FIGARCH and HYGARCH models.
Kasman, Adnan, Kasman, Saadet, Torun, Erdost   +2 more
core  

The relationship between inflation and inflation uncertainty. Empirical evidence for the newest EU countries. [PDF]

PLoS One, 2014
Viorica D, Jemna D, Pintilescu C, Asandului M.   +3 more
europepmc   +1 more source

Estimation of the long memory parameter in non stationary models: A Simulation Study [PDF]

In this paper we perform a Monte Carlo study based on three well-known semiparametric estimates for the long memory fractional parameter. We study the efficiency of Geweke and Porter-Hudak, Gaussian semiparametric and wavelet Ordinary Least-Square ...
Mohamed Boutahar, Rabeh Khalfaoui2
core  

Memory-Driven Dynamics: A Fractional Fisher Information Approach to Economic Interdependencies. [PDF]

Entropy (Basel)
Batrancea LM, Akgüller Ö, Balcı MA, Altan Koç D, Gaban L.   +4 more
europepmc   +1 more source

Forecasting value-at-risk of crude oil futures using a hybrid ARIMA-SVR-POT model. [PDF]

Heliyon
Zhang C, Zhou X.
europepmc   +1 more source

Down Trend Forecasting Method with ARFIMA: International Tourist Arrivals to Thailand

Forecasting is an essential analytical tool in tourism policy and planning. This paper focuses on forecasting methods based on ARFIMA(p,d,q) or fractionally integrated moving average(ARFIMA).
Prasert Chaitip, Chukiat Chaiboonsri
core