Results 81 to 90 of about 7,382 (224)

Fractional stochastic volatility model

Journal of Time Series Analysis, Volume 46, Issue 2, Page 378-397, March 2025.
This article introduces a discrete‐time fractional stochastic volatility model (FSV) based on fractional Gaussian noise. The new model includes the standard stochastic volatility model as a special case and has the same limit as the fractional integrated stochastic volatility (FISV) model, which is the continuous‐time fractional Ornstein–Uhlenbeck ...
Shuping Shi, Xiaobin Liu, Jun Yu
wiley   +1 more source

Forecasting Temperature Time Series Data Using Combined Statistical and Deep Learning Methods: A Case Study of Nairobi County Daily Temperature

International Journal of Mathematics and Mathematical Sciences, Volume 2025, Issue 1, 2025.
Accurate temperature forecasting is of paramount importance across various sectors, influencing decision‐making processes and impacting numerous aspects of daily life. This study analyzes temperature time series data from the Nairobi County in Kenya, aiming to develop accurate hybrid time series forecasting models.
John Kamwele Mutinda, Amos Kipkorir Langat, Samuel Musili Mwalili, Ayesha Ikram   +3 more
wiley   +1 more source

Predicting BRICS stock returns using ARFIMA models [PDF]

Applied Financial Economics, 2014
This article examines the existence of long memory in daily stock market returns from Brazil, Russia, India, China and South Africa (BRICS) countries and also attempts to shed light on the efficacy of autoregressive fractionally integrated moving average (ARFIMA) models in predicting stock returns.
Aye, Goodness Chioma, Balcilar, Mehmet, Gupta, Rangan, Kilimani, Nicholas, Nakumuryango, Amandine, Redford, Siobhan   +5 more
openaire   +2 more sources

PPP Solution‐Based Model of Absolute Vertical Movements of the Earth's Crust in Poland With Consideration of Geological, Tectonic, Hydrological and Mineral Information

Earth and Space Science, Volume 11, Issue 12, December 2024.
Abstract This study aims to develop an absolute model of contemporary Vertical Crustal Movements (VCM) and Vertical Land Movements (VLM) in an area of Poland based on GNSS solutions. Velocities at permanent stations were subjected to geological, tectonic, hydrological and mineral information analyses.
B. Naumowicz, K. Kowalczyk, R. Pelc‐Mieczkowska   +2 more
wiley   +1 more source

Estimação do parâmetro "d " em modelos arfima [PDF]

Pesquisa Operacional, 2000
Os modelos ARFIMA caracterizam-se por sua longa dependência e por possuírem o parâmetro d do modelo ARIMA (grau de diferenciação) assumindo valores fracionários. Quando no caso d <FONT FACE=Symbol>Î</FONT> (-0,5; 0,5), há estacionariedade. A longa dependência aparece quando d é positivo.
Trevisan, Elma Suema, Souza, Reinaldo Castro, Souza, Leonardo Rocha   +2 more
openaire   +3 more sources

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

PM10 AIR QUALITY INDEX MODELING USING ARFIMA-GARCH METHOD: BUNDARAN HI AREA OF DKI JAKARTA PROVINCE

Barekeng
Air quality is an essential factor in urban life, and its’ assessment often relies on the concentration of measurable air pollution parameters. One critical parameter is Particulate Matter (PM), particularly PM10, which comprises solid or liquid ...
Susilo Hariyanto, Salsabila Gustia Wibawa, Solikhin Solikhin   +2 more
doaj   +1 more source

A COMPARATIVE STUDY BETWEEN UNIVARIATE AND BIVARIATE TIME SERIES MODELS FOR CRUDE PALM OIL INDUSTRY IN PENINSULAR MALAYSIA

Malaysian Journal of Computing, 2020
The main purpose of this study is to compare the performances of univariate and bivariate models on four-time series variables of the crude palm oil industry in Peninsular Malaysia.
Pauline Jin Wee Mah, Nur Nadhirah Nanyan
doaj   +1 more source

Positivity properties of the ARFIMA(0,d,0) specifications and credibility analysis of frequency risks

, 2020
Allowing for the seniority of claims and of risk exposure in the prediction of frequency risks necessitates dynamic random effects in Poisson mixtures. Non-life insurance data show evidence of long memory in stationary random effects.
J. Pinquet
semanticscholar   +1 more source

An ARFIMA-based model for daily precipitation amounts with direct access to fluctuations

Stochastic environmental research and risk assessment (Print), 2020
Correlations in models for daily precipitation are often generated by elaborate numerics that employ a high number of hidden parameters. We propose a parsimonious and parametric stochastic model for European mid-latitude daily precipitation amounts with ...
K. Polotzek, H. Kantz
semanticscholar   +1 more source