Results 41 to 50 of about 467 (180)
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
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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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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
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Jurnal LebesgueThe Autoregressive Fractionally Integrated Moving Average (ARFIMA) model is a development of the ARIMA model with the differencing values being fractional numbers.
Muhammad Reja Sinaga +2 more
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INTERNATIONAL TOURISTS’ EXPENDITURES IN THAILAND: A MODELLING OF THE ARFIMA-FIGARCH APPROACH [PDF]
Annals of the University of Petrosani: Economics, 2010 Forecasting is an essential analytical tool for tourism policy andplanning. This paper focuses on forecasting methods based on ARFIMA(p,d,q)-FIGARCH(p,d,q).
KANCHANA CHOKETHAWORN +5 more
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Fractional Gaussian Noise: Spectral Density and Estimation Methods
Journal of Time Series Analysis, Volume 46, Issue 6, Page 1146-1174, November 2025.The fractional Brownian motion (fBm) process, governed by a fractional parameter H∈(0,1)$$ H\in \left(0,1\right) $$, is a continuous‐time Gaussian process with its increment being the fractional Gaussian noise (fGn). This article first provides a computationally feasible expression for the spectral density of fGn.
Shuping Shi, Jun Yu, Chen Zhang
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نمذجة وتحليل أسعار الموز في مدينة الموصل باستخدام نموذج ARFIMA "دراسة تنبؤيه للسوق [PDF]
المجلة العراقية للعلوم الاحصائيةتناولت هذه الدراسة استخدام نماذج ARFIMA للتنبؤ بأسعار الموز المستورد في مدينه الموصل وذلك بالاعتماد على البيانات التي تم الحصول عليها من مديريه زراعه نينوى للفترة من سنه 2018 لغايه 2023 حيث استخدم في البحث عده طرق لتقدير الذاكرة الطويلة وتحديد قيمه معلمه
{حاب طلال, عمر سالم
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Data & Policy, 2022 The aim of the present article is to evaluate the use of the Autoregressive Fractionally Integrated Moving Average (ARFIMA) model in predicting spatially and temporally localized political violent events using the Integrated Crisis Early Warning System ...
Tamir Libel
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S&P 500 microstructure noise components: empirical inferences from futures and ETF prices
Journal of Time Series Analysis, Volume 46, Issue 6, Page 1032-1063, November 2025.By studying the differences between futures prices and exchange‐traded fund prices for the S&P 500 index, original results are obtained about the distribution and persistence of the microstructure noise component created by positive bid‐ask spreads and discrete price scales.
Stephen J. Taylor
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Local powers of least‐squares‐based test for panel fractional Ornstein–Uhlenbeck process
Journal of Time Series Analysis, Volume 46, Issue 5, Page 997-1023, September 2025.In recent years, significant advancements have been made in the field of identifying financial asset price bubbles, particularly through the development of time‐series unit‐root tests featuring fractionally integrated errors and panel unit‐root tests.
Katsuto Tanaka, Weilin Xiao, Jun Yu
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