Results 41 to 50 of about 5,691 (212)
Mathematics, 2021 The peaks-over-threshold (POT) method has a long tradition in modelling extremes in environmental variables. However, it has originally been introduced under the assumption of independently and identically distributed (iid) data. Since environmental data
Pushpa Dissanayake +3 more
doaj +1 more source
A brief history of long memory: Hurst, Mandelbrot and the road to ARFIMA [PDF]
, 2016 Long memory plays an important role in many fields by determining the behaviour and predictability of systems; for instance, climate, hydrology, finance, networks and DNA sequencing.
Franzke, Christian +3 more
core +3 more sources
Efficient Bayesian inference for ARFIMA processes [PDF]
, 2015 Abstract. Many geophysical quantities, like atmospheric temperature, water levels in rivers, and wind speeds, have shown evidence of long-range dependence (LRD). LRD means that these quantities experience non-trivial temporal memory, which potentially enhances their predictability, but also hampers the detection of externally forced trends. Thus, it is
Graves, T. +3 more
openaire +2 more sources
International Journal of Finance &Economics, Volume 31, Issue 2, Page 2845-2862, April 2026.ABSTRACT One of the critical risks associated with cryptocurrency assets is the so‐called downside risk, or tail risk. Conditional Value‐at‐Risk (CVaR) is a measure of tail risks that is not normally considered in the construction of a cryptocurrency portfolio.
Xinran Huang +3 more
wiley +1 more source
Gaziantep Üniversitesi Sosyal Bilimler Dergisi, 2021 Bu çalışmada, Türkiye’nin 2010 – 2020 dönemine ait ülke Kredi Temerrüt Takası Primlerinin finansal zaman serisi olarak özellikleri araştırılmış, parametrik ve yarı parametrik ön testler uygulanmıştır.
Mustafa Çevik, Süleyman Serdar Karaca
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Nelson And Plosser Revisited: Evidence From Fractional Arima Models [PDF]
, 2004 In this paper fractionally integrated ARIMA (ARFIMA) models are estimated using an extended version of Nelson and Plosser’s (1982) dataset. The analysis employs Sowell’s (1992) maximum likelihood procedure.
Caporale, GM, Gil-Alana, LA
core
Discrete Dynamics in Nature and Society, Volume 2026, Issue 1, 2026.Today, the astonishing growth of digital currency has attracted many bold investors. This has caused digital currencies to be gradually introduced as a new asset class with its own criteria. However, the relationship between traditional assets and new assets is not yet deeply understood. This study’s objective is to investigate the dynamic relationship
Farzaneh Shams Tarnabi, Fabio Tramontana
wiley +1 more source
FORECASTING THE UNEMPLOYMENT RATE IN MALAYSIA DURING COVID-19 PANDEMIC USING ARIMA AND ARFIMA MODELS
Malaysian Journal of Computing, 2022 The unemployment issue is one of the most common problems faced by many countries around the world. The unemployment rates in developed countries often fluctuate throughout time.
Nur Afiqah Ismail +2 more
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Journal of Applied Mathematics, Volume 2026, Issue 1, 2026.In this paper, we model edge traffic with a conformable fractional partial differential equation that keeps memory in time and space. The solution represents a unit‐free attack pressure, built from a z‐scored edge series, a quiet period baseline, and a partially absorbing boundary that reflects scrubbing and rate limits.
Ahmad Alshanty +3 more
wiley +1 more source
Stock-return volatility persistence over short and long range horizons: Some empirical evidences
Jurnal Perspektif Pembiayaan dan Pembangunan Daerah, 2020 In this paper, we account for memory failure or otherwise in the daily evolution of stock return and volatility within the purview of short and long ranges based on the arrival of fundamental news.
Kolawole Subair, Ajibola Arewa
doaj +1 more source