Results 1 to 10 of about 367 (185)
Hybridization of long short-term memory neural network in fractional time series modeling of inflation [PDF]
Frontiers in Big Data, 2023 Inflation is capable of significantly impacting monetary policy, thereby emphasizing the need for accurate forecasts to guide decisions aimed at stabilizing inflation rates.
Erman Arif +4 more
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Considerations for Applying Entropy Methods to Temporally Correlated Stochastic Datasets [PDF]
Entropy, 2023 The goal of this paper is to highlight considerations and provide recommendations for analytical issues that arise when applying entropy methods, specifically Sample Entropy (SampEn), to temporally correlated stochastic datasets, which are representative
Joshua Liddy, Michael Busa
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Cumhuriyet Science JournalThe research delved into analysing the stochastic characteristics of Nigeria's Real GDP, the exchange rate of the Naira to US Dollar, and the inflation rate employing Autoregressive fractionally integrated moving average (ARFIMA) and the Autoregressive ...
Ayoade Adewole
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Frontiers in Applied Mathematics and Statistics, 2022 IntroductionThe price of crude oil as an essential commodity in the world economy shows a pattern and identifies the component factors that influence it in the short and long term.
Dodi Devianto +4 more
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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
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PEMODELAN DATA HARGA CABAI DENGAN PENDEKATAN DERET WAKTU FRAKSIONAL ARFIMA
Jurnal Lebesgue, 2023 Long-memory is a type of time series data that has a high correlation between long observation times. This can be seen from the autocorrelation function where the lag falls slowly over a long period. Such long-memory data can be modeled in the form of an
Elsa Wahyuni +2 more
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BOOTSTRAP ASSISTED SPECIFICATION TESTS FOR THE ARFIMA MODEL [PDF]
Econometric Theory, 2011 This paper proposes bootstrap assisted specification tests for the autoregressive fractionally integrated moving average model based on the BartlettTp-process with estimated parameters whose limiting distribution under the null depends on the estimated model and the estimation method employed.
Delgado, Miguel A. +2 more
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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
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SMALL-SAMPLE LIKELIHOOD-BASED INFERENCE IN THE ARFIMA MODEL [PDF]
Econometric Theory, 2000 The autoregressive fractionally integrated moving average (ARFIMA) model has become a popular approach for analyzing time series that exhibit long-range dependence. For the Gaussian case, there have been substantial advances in the area of likelihood-based inference, including development of the asymptotic properties of the maximum likelihood ...
Offer Lieberman +2 more
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Journal of Computing Research and Innovation, 2021 Gold is known as the most valuable commodity in the world because it is a universal currency recognized by every single bank across the globe. Thus, many people were interested in investing gold since gold market was always steadier compared to other ...
Atiqa Nur Azza Mahmad Azan +2 more
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