Results 71 to 80 of about 5,691 (212)

Labor market forecasting in unprecedented times: A machine learning approach

Bulletin of Economic Research, Volume 76, Issue 4, Page 893-915, October 2024.
Abstract The COVID‐19 pandemic ushered in unprecedented social and economic conditions, alongside unexpected policy responses, challenging the effectiveness of traditional labor market forecasting approaches. This article presents a novel approach that integrates macroeconomic variables, traditional labor market metrics, and Google search data to ...
Johanna M. Orozco‐Castañeda, Lya Paola Sierra‐Suárez, Pavel Vidal   +2 more
wiley   +1 more source

Comparing the accuracy of the model Meta heuristic and Econometric in forecasting of financial time series with long-term memory (Case Study, Stock Index of Cement Industry in Iran) [PDF]

تحقیقات مالی, 2011
Data with high frequency have a particular type of none stationary that is called fractional none stationary. This property causes the emergence of long-term memory in financial time series with high frequency. The existence of long-term memory in cement
Farnaz Barzinpour, Seyed Babak Ebrahimi, Seyed Mohammad Hasheminejad, Hamed Nasr Esfahani   +3 more
doaj  

Local Whittle estimation with (quasi‐)analytic wavelets

Journal of Time Series Analysis, Volume 45, Issue 3, Page 421-443, May 2024.
In the general setting of long‐memory multivariate time series, the long‐memory characteristics are defined by two components. The long‐memory parameters describe the autocorrelation of each time series. And the long‐run covariance measures the coupling between time series, with general phase parameters.
Sophie Achard, Irène Gannaz
wiley   +1 more source

Higher-Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes [PDF]

, 2013
This paper investigates the accuracy of bootstrap-based inference in the case of long memory fractionally integrated processes. The re-sampling method is based on the semi-parametric sieve approach, whereby the dynamics in the process used to produce the
Grose, Simone D., Martin, Gael M., Poskitt, D. S.   +2 more
core   +1 more source

Macro‐financial linkages in the high‐frequency domain: Economic fundamentals and the Covid‐induced uncertainty channel in US and UK financial markets

International Journal of Finance &Economics, Volume 29, Issue 2, Page 1581-1608, April 2024.
Abstract This article contributes to our understanding of the macro‐financial linkages in the high‐frequency domain during the recent health crisis. Building on the extant literature that mainly uses monthly or quarterly macro proxies, we examine the daily economic impact on intra‐daily financial volatility by applying the macro‐augmented HEAVY model ...
Guglielmo Maria Caporale, Menelaos Karanasos, Stavroula Yfanti   +2 more
wiley   +1 more source

Coupling travel characteristics identifying and deep learning for demand forecasting on car‐hailing tourists: A case study of Beijing, China

IET Intelligent Transport Systems, Volume 18, Issue 4, Page 691-708, April 2024.
Based on multi‐source data, this study couples the travel characteristics identifying by introducing a concept of service dependency degree and a Bayesian optimization–long short time memory–convolutional neural network method to conduct the multi‐task online car‐hailing demand prediction. This method is applied to the main scenic spots in Beijing, and
Zile Liu, Xiaobing Liu, Yun Wang, Xuedong Yan   +3 more
wiley   +1 more source

MODEL PERGERAKAN HARGA MINYAK MENTAH BRENT MENGGUNAKAN PENDEKATAN TIME SERIES DENGAN EFEK LONG MEMORY

Jurnal Lebesgue
Oil price movements are highly volatile and tend to be influenced over extended periods, often displaying long memory effect. This study utilizes the Autoregressive Fractionally Integrated Moving Average (ARFIMA) model, a long memory model, to analyze ...
Eza Syafri Ramadhani, Dodi Devianto, Ferra Yanuar   +2 more
doaj   +1 more source

Does the ARFIMA really shift? [PDF]

, 2017
Short memory models contaminated by level shifts have long-memory features similar to those associated to processes generated under fractional integration. In this paper, we propose a robust testing procedure, based on an encompassing parametric specification, that allows to disentangle the level shift term from the ARFIMA component.
Monache, Davide Delle, Grassi, Stefano, Santucci de Magistris, Paolo   +2 more
openaire  

Kripto Para Birimi Piyasalarında GPH Yöntemi ile Uzun Hafıza Analizi: Bitcoin Örneği

Ekonomi, Politika & Finans Araştırmaları Dergisi
Son yıllarda, para piyasalarında ve bankacılık sektöründe yaşanan krizlerin etkisiyle merkezi para otoritelerine olan güven sarsılmış ve bu nedenle merkezi olmayan bir sistem arayışına girilmiştir.
İpek Yurttagüler
doaj   +1 more source

The Use of Weather Variables in the Modeling of Demand for Electricity in One of the Regions in the Southern Poland [PDF]

The main objective of the paper is the verification of usefulness of the ARFIMA-FIGARCH class models in the description of tendencies in the energy consumption in a selected region of the southern Poland taking into consideration weather variables ...
Aneta Wlodarczyk, Marcin Zawada
core