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Forecasting energy futures volatility based on the unbiased extreme value volatility estimator
IIMB Management Review, 2017 This paper uses the opening, high, low, and closing prices of five energy futures to estimate and model volatility based on the unbiased extreme value volatility estimator (the Add RS estimator).
Dilip Kumar
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A Forecasting Model for Japan's Unemployment Rate [PDF]
Eurasian Journal of Business and Economics, 2010 This note aims to achieve a parsimonious fractionally-integrated autoregressive and moving average (ARFIMA) model for recent time series data of Japan's unemployment rate. A brief review of the ARFIMA model is provided, leading to econometric modeling of
Takamitsu KURITA
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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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Growth enterprise market in Hong Kong: Efficiency evolution and long memory in return and volatility [PDF]
Journal of Asian Business and Economic Studies, 2020 Purpose – Growth enterprise market (GEM) in Hong Kong is acknowledged as one of the world’s most successful examples of small and medium enterprise (SME) stock market.
Trang Nguyen +3 more
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FORECASTING THE UNEMPLOYMENT RATE IN MALAYSIA DURING COVID-19 PANDEMIC USING ARIMA AND ARFIMA MODELS
Malaysian Journal of Computing, 2022 The unemployment issue is one of the most common problems faced by many countries around the world. The unemployment rates in developed countries often fluctuate throughout time.
Nur Afiqah Ismail +2 more
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Time-varying persistence in US inflation [PDF]
, 2016 The persistence property of inflation is an important issue not only for economists, but especially for central banks, given that the degree of inflation persistence determines the extent to which central banks can control inflation. Further, not only is
Caporin, Massimiliano, Gupta, Rangan
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ARFIMA Model for Short Term Forecasting of New Death Cases COVID-19 [PDF]
E3S Web of Conferences, 2020 COVID-19 is an infectious disease that can spread from one person to another and has a high potential for death. The infection of COVID-19 is spreading massive and fast that causes the extreme fluctuating data spread and long memory effects.
Kartikasari Puspita +2 more
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Analisis Kejadian Gempa Bumi Tektonik di Wilayah Pulau Sumatera
Jurnal Matematika, 2016 The purpose of this study to get an overview of the earthquakes in Sumatra. The method used is descriptive statistics and models Autoregressive Fractionally Integrated Moving Average (ARFIMA). The result from analysis data yielded a mathematical model to
Jose Rizal +3 more
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Forecasting long range dependent time series with exogenous variable using ARFIMAX model
The Indian Journal of Agricultural Sciences, 2020 Time series analysis and forecasting is one of the challenging issues of statistical modelling. Modelling of price and forecasting is a vital matter of concern for both the farming community and policy makers, especially in agriculture.
Krishna Pada Sarkar +6 more
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Jurnal LebesgueIndonesia, a nation in Southeast Asia, has a wealth of natural resources that could serve as the basis for future economic growth. Increased exports of natural resources are crucial for market expansion, job creation, foreign exchange gains, and economic
Putri Hazizah Rahwani +2 more
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