Results 11 to 20 of about 5,691 (212)
Frontiers in Applied Mathematics and Statistics, 2022 IntroductionThe price of crude oil as an essential commodity in the world economy shows a pattern and identifies the component factors that influence it in the short and long term.
Dodi Devianto +4 more
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Lecturas de Economía, 2013 Prueba de hipótesis sobre la existencia de una raíz fraccional en una serie de tiempo no estacionaria Resumen: En este trabajo se propone una modificación de la prueba de hipótesis propuesta por Castaño, Gómez y Gallón (2008) para determinar la ...
Diego Lemus, Elkin Castaño
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Fractional differencing in stock market price and online presence of global tourist corporations [PDF]
Journal of Economics Finance and Administrative Science, 2019 Purpose - This work aims to explore the behavior of stock market prices according to the autoregressive fractional differencing integrated moving average model.
Francisco Flores-Muñoz +2 more
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PEMODELAN DATA HARGA CABAI DENGAN PENDEKATAN DERET WAKTU FRAKSIONAL ARFIMA
Jurnal Lebesgue, 2023 Long-memory is a type of time series data that has a high correlation between long observation times. This can be seen from the autocorrelation function where the lag falls slowly over a long period. Such long-memory data can be modeled in the form of an
Elsa Wahyuni +2 more
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Combining long memory and level shifts in modeling and forecasting the volatility of asset returns [PDF]
, 2017 We propose a parametric state space model of asset return volatility with an accompanying estimation and forecasting framework that allows for ARFIMA dynamics, random level shifts and measurement errors.
Perron, Pierre, Varneskov, Rasmus T.
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Stochastic Inequalities for the Run Length of the EWMA Chart for Long-Memory Processes
Revstat Statistical Journal, 2019 In this paper the properties of the modified EWMA control chart for detecting changes in the mean of an ARFIMA process are discussed. The central question is related to the false alarm probability and its behavior for different autocorrelation ...
Yarema Okhrin , Wolfgang Schmid
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BOOTSTRAP ASSISTED SPECIFICATION TESTS FOR THE ARFIMA MODEL [PDF]
Econometric Theory, 2011 This paper proposes bootstrap assisted specification tests for the autoregressive fractionally integrated moving average model based on the BartlettTp-process with estimated parameters whose limiting distribution under the null depends on the estimated model and the estimation method employed.
Delgado, Miguel A. +2 more
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Minimum distance estimation of ARFIMA processes
Computational Statistics & Data Analysis, 2013 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Zevallos, M., Palma M., Wilfredo
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Evaluating the Effectiveness of GARCH Models in the Estimation of Systematic Risk in listed companies of the Tehran Stock Exchange [PDF]
Journal of Asset Management and Financing, 2020 The stock market of each country, in addition to reflecting its economic structure, is considered as an important source of capital Circulation of that country.
nemat rastgoo, Hossein panahian
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Time-varying persistence in US inflation [PDF]
, 2016 The persistence property of inflation is an important issue not only for economists, but especially for central banks, given that the degree of inflation persistence determines the extent to which central banks can control inflation. Further, not only is
Caporin, Massimiliano, Gupta, Rangan
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