Results 31 to 40 of about 367 (185)
International Journal of Finance &Economics, EarlyView.ABSTRACT One of the critical risks associated with cryptocurrency assets is the so‐called downside risk, or tail risk. Conditional Value‐at‐Risk (CVaR) is a measure of tail risks that is not normally considered in the construction of a cryptocurrency portfolio.
Xinran Huang +3 more
wiley +1 more source
Wavelet based long memory model for modelling wheat price in India
The Indian Journal of Agricultural Sciences, 2021 Agricultural time-series data concerning production, prices, export and import of several agricultural commodities is published by Indian government along with other private agricultural sectors every year.
RANJIT KUMAR PAUL +2 more
doaj +1 more source
Error and Model Misspecification in ARFIMA Process
Brazilian Review of Econometrics, 2001 In developing the long and short memory estimation, it is usually assumed that the innovations in the ARFIMA model are normally distributed. However, circumstances may occur where this assumption is not true. This paper uses Monte Carlo simulation to evaluate the robustness of different estimators of the fractional parameter in stationary and ...
Valderio A. Reisen +2 more
openaire +2 more sources
A Fuzzy Framework for Realized Volatility Prediction: Empirical Evidence From Equity Markets
Journal of Forecasting, Volume 45, Issue 3, Page 1261-1291, April 2026.ABSTRACT This study introduces a realized volatility fuzzy time series (RV‐FTS) model that applies a fuzzy c‐means clustering algorithm to estimate time‐varying c latent volatility states and their corresponding membership degrees. These memberships are used to construct a fuzzified volatility estimate as a weighted average of cluster centroids.
Shafqat Iqbal, Štefan Lyócsa
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The Indian Journal of Agricultural Sciences, 2022 The objective of present study was to investigate the efficiency of Autoregressive fractionally integrated moving average model with exogenous input (ARFIMAX) in forecasting price of Indian mustard [Brassica juncea (L.) Czern. & Coss].
RANJIT KUMAR PAUL +4 more
doaj +1 more source
Discrete Dynamics in Nature and Society, Volume 2026, Issue 1, 2026.Today, the astonishing growth of digital currency has attracted many bold investors. This has caused digital currencies to be gradually introduced as a new asset class with its own criteria. However, the relationship between traditional assets and new assets is not yet deeply understood. This study’s objective is to investigate the dynamic relationship
Farzaneh Shams Tarnabi, Fabio Tramontana
wiley +1 more source
ARFIMA Modelling for Tectonic Earthquakes in The Maluku Region
Indonesian Journal of Statistics and Its Applications, 2021 Maluku Province is one of the regions in Indonesia with a very active and very prone earthquake intensity because it is a meeting place for 3 (three) plates, namely the Eurasian, Pacific and Australian plates. In the last 100 years, the history of tectonic earthquakes with tsunamis that occurred in Indonesia was 25-30% occurring in the Maluku Sea and ...
Ferry Kondo Lembang +2 more
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Journal of Applied Mathematics, Volume 2026, Issue 1, 2026.In this paper, we model edge traffic with a conformable fractional partial differential equation that keeps memory in time and space. The solution represents a unit‐free attack pressure, built from a z‐scored edge series, a quiet period baseline, and a partially absorbing boundary that reflects scrubbing and rate limits.
Ahmad Alshanty +3 more
wiley +1 more source
Fractional Neuro-Sequential ARFIMA-LSTM for Financial Market Forecasting
IEEE Access, 2020 Forecasting of fast fluctuated and high-frequency financial data is always a challenging problem in the field of economics and modelling. In this study, a novel hybrid model with the strength of fractional order derivative is presented with their ...
Ayaz Hussain Bukhari +5 more
doaj +1 more source
Fractional Gaussian Noise: Spectral Density and Estimation Methods
Journal of Time Series Analysis, Volume 46, Issue 6, Page 1146-1174, November 2025.The fractional Brownian motion (fBm) process, governed by a fractional parameter H∈(0,1)$$ H\in \left(0,1\right) $$, is a continuous‐time Gaussian process with its increment being the fractional Gaussian noise (fGn). This article first provides a computationally feasible expression for the spectral density of fGn.
Shuping Shi, Jun Yu, Chen Zhang
wiley +1 more source