Results 21 to 30 of about 7,220 (228)
Modelling exchange rate volatility with random level shifts [PDF]
, 2016 Recent literature has shown that the volatility of exchange rate returns displays long memory features. It has also been shown that if a short memory process is contaminated by level shifts, the estimate of the long memory parameter tends to be upward ...
Li, Ye, Perron, Pierre, Xu, Jiawen
core +1 more source
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
doaj +1 more source
Fractional Neuro-Sequential ARFIMA-LSTM for Financial Market Forecasting
IEEE Access, 2020 Forecasting of fast fluctuated and high-frequency financial data is always a challenging problem in the field of economics and modelling. In this study, a novel hybrid model with the strength of fractional order derivative is presented with their ...
Ayaz Hussain Bukhari +5 more
semanticscholar +1 more source
PEMODELAN INDEKS HARGA PERDAGANGAN BESAR (IHPB) SEKTOR EKSPOR MENGGUNAKAN ARFIMA-GARCH
Jurnal Gaussian, 2023 Indonesia's price index serves as a barometer for the nation's economic condition. One of the Indonesia’s price index is Wholesale Price Index (WPI). WPI is a price index that tracks the average change in wholesale prices over time.
Gandhes Linggar Winanti +2 more
semanticscholar +1 more source
Kubik, 2015 Model ARFIMA (Autoregressive Fractionally Integrated Moving Average) merupakan pengembangan dari model ARIMA yang pertama kali dikenalkan oleh Granger dan Joyeux (1980). Sedangkan Hosking (1981) memperkenalkan sifat jangka panjang (long memory) pada data
Rini Cahyandari, Rima Erviana
doaj +1 more source
MARAS: Jurnal Penelitian Multidisiplin, 2023 Kenaikan jumlah pelanggan pada perusahaan X mengakibatkan kenaikan yang sama pada besar tunggakan tagihan pelanggan. Data tunggakan tersebut cenderung memiliki pola tren naik dan memiliki fluktiasi yang besar, akibatnya perusahaan memerlukan adanya ...
Tri Wulanda Fitri +4 more
semanticscholar +1 more source
Inflation Dynamics in the ABC (Argentina, Brazil and Chile) countries
Ensayos de Política Económica, 2020 Este trabajo evalúa la inercia y persistencia de la inflación y sus componentes para Argentina (dos períodos), Brasil y Chile utilizando modelos estacionales y fraccionalmente integrados autorregresivo de promedios móviles (modelo S-ARFIMA).
Fernando Zarzosa Valdivia
doaj +1 more source
InPrime, 2019 Wind speed is one of the most important weather factors in the landing and takeoff process of airplane because it can affect the airplane's lift. Therefore, we need a model to predict the wind speed in an area.
Devi Ila Octaviyani +2 more
doaj +1 more source
Forecasting realised volatility using ARFIMA and HAR models [PDF]
Quantitative Finance, 2019 Recent literature provides mixed empirical evidence with respect to the forecasting performance of ARFIMA and HAR models. This paper compares the forecasting performance of both models using high frequency data of 100 stocks representing 10 business sectors for the period 2000-2010.
Marwan Izzeldin +3 more
openaire +2 more sources
A Forecasting Model for Japan's Unemployment Rate [PDF]
Eurasian Journal of Business and Economics, 2010 This note aims to achieve a parsimonious fractionally-integrated autoregressive and moving average (ARFIMA) model for recent time series data of Japan's unemployment rate. A brief review of the ARFIMA model is provided, leading to econometric modeling of
Takamitsu KURITA
doaj