South African inflation modelling using bootstrapped long short-term memory methods. [PDF]
SN Bus Econ, 2023 Kubheka S.
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Stock market volatility simulation with the LSTM neural network
Вестник Пермского университета: Серия ЭкономикаIntroduction. Stock market volatility simulation and forecast are relevant issues which could contribute into lower risks and higher revenues of the market transactions.
Dmitry Aleksandrovich Patlasov +1 more
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Investigating the Efficacy of ARIMA and ARFIMA Models in Nigeria All Share Index Markets
ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, 2023 Dum Deebom Zorle +7 more
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Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility [PDF]
This paper presents a comprehensive empirical evaluation of option-implied and returns-based forecasts of volatility, in which new developments related to the impact on measured volatility of market microstructure noise and random jumps are explicitly ...
Andrew Reidy +2 more
core
Time Analysis of an Emergent Infection Spread Among Healthcare Workers: Lessons Learned from Early Wave of SARS-CoV-2. [PDF]
Int J Gen Med, 2022 Leme PAF +8 more
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Testing and Estimating Persistence in Canadian Unemployment. [PDF]
A vital implication of unemployment persistence applies to the Bank of Canada's disinflation policies since it adversely influences unemployment and considerably lengthens recessions.
Curtis J. Eberwein +2 more
core
Model-based stationarity filtering of long-term memory data applied to resting-state blood-oxygen-level-dependent signal. [PDF]
PLoS One, 2022 Bansal IR +4 more
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Predicción mediante modelos AFIRMA y FOU de energía afluente
Memoria Investigaciones en Ingeniería, 2017 En este trabajo se estudian predicciones a partir de modelos ARFIMA y FOU para la serie de datos semanales de energía afluente generada por las represas hidroeléctricas de Uruguay entre 1909 y 2012. Se describe la serie de datos, y mediante la estimación
Juan Kalemkerian
doaj
Analysing CPI inflation by the fractionally integrated ARFIMA-STVGARCH model [PDF]
The aim of this paper is to study the dynamic evolution of inflation rate. The model is constructed by extending the ARFIMA-GARCH to ARFIMA with a time varying GARCH model where the transition from one regime to another is evolving smoothly over time. We
Imene Mootamri +2 more
core
Sèries temporals amb memòria llarga: models ARFIMA
, 2023 Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2023 , Director: Josep Vives i Santa ...
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