Results 121 to 130 of about 4,943 (215)

Long Memory in Import and Export Price Inflation and Persistence of Shocks to the Terms of Trade [PDF]

Long memory models have been successfully used to investigate the dynamic time-series behavior of inflation rates based on the CPI and WPI. However, almost no attention has been paid to import and export price inflation, nor to the terms of trade which ...
G. K. Randolph TAN
core  

Pandemic episodes, CO₂ emissions and global temperatures. [PDF]

Theor Appl Climatol, 2022
Monge M, Gil-Alana LA.
europepmc   +1 more source

Forecasting Italian Electricity Zonal Prices with Exogenous Variables [PDF]

In the last few years we have observed deregulation in electricity markets and an increasing interest of price dynamics has been developed especially to consider all stylized facts shown by spot prices.
Angelica Gianfreda, Luigi Grossi
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On the relationship between Bitcoin and other assets during the outbreak of coronavirus: Evidence from fractional cointegration analysis. [PDF]

Resour Policy, 2022
Bejaoui A, Mgadmi N, Moussa W.
europepmc   +1 more source

Modelling and Forecasting Noisy Realized Volatility [PDF]

Several methods have recently been proposed in the ultra high frequency financial literature to remove the effects of microstructure noise and to obtain consistent estimates of the integrated volatility (IV) as a measure of ex-post daily volatility. Even
Asai, M., McAleer, M.J., Medeiros, M.
core   +1 more source

Forecasting the Romanian Unemployment Rate in Time of Health Crisis-A Univariate vs. Multivariate Time Series Approach. [PDF]

Int J Environ Res Public Health, 2021
Davidescu AA, Apostu SA, Marin A.
europepmc   +1 more source

ARFIMA model applied to Malaysian stock market

Communications in Mathematical Biology and Neuroscience, 2022
openaire   +1 more source

Normalizing Logarithms Of Realized Volatility In An Arfima Model

, 2016
Modelling realized volatility with high-frequency returns is popular as it is an unbiased and efficient estimator of return volatility. A computationally simple model is fitting the logarithms of the realized volatilities with a fractionally integrated long-memory Gaussian process.
openaire   +1 more source

Application of an ARFIMA Model to Estimate Hepatitis C Epidemics in Henan, China. [PDF]

Am J Trop Med Hyg
Wang Y, Liang Z, Qing S, Liu X, Xu C.
europepmc   +1 more source

Estimating Permutation Entropy Variability via Surrogate Time Series. [PDF]

Entropy (Basel), 2022
Ricci L, Perinelli A.
europepmc   +1 more source