Results 81 to 90 of about 4,901 (213)
Measuring core inflation in the euro area [PDF]
We propose a measure of core inflation which is derived from a Markov switching ARFIMA model. The Markov switching ARFIMA model generalises the standard ARFIMA model allowing mean reversion to take place with respect to a changing unconditional mean.
Morana, Claudio
core
Aquila Optimizer‐Based Hybrid Predictive Model for Traffic Congestion in an IoT‐Enabled Smart City
International Journal of Intelligent Systems, Volume 2024, Issue 1, 2024.Effective traffic congestion prediction is need of the hour in a modern smart city to save time and improve the quality of life for citizens. In this study, AB_AO (ARIMA Bi‐LSTM using Aquila optimizer), a hybrid predictive model, is proposed using the most effective time‐series data prediction statistical model ARIMA (Autoregressive Integrated Moving ...
Ayushi Chahal +4 more
wiley +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 +4 more sources
Gestão & Produção, 2012 Neste trabalho foram avaliados os ajustes de cinco modelos para previsão da variância, utilizando-se uma série de preços de soja, uma commodity negociada na bolsa de mercadorias de Chicago (CBOT), com dados de alta frequência. Os modelos utilizados foram
Mario Domingues Simões +3 more
doaj +1 more source
Analysing CPI inflation by the fractionally integrated ARFIMA-STVGARCH model [PDF]
The aim of this paper is to study the dynamic evolution of inflation rate. The model is constructed by extending the ARFIMA-GARCH to ARFIMA with a time varying GARCH model where the transition from one regime to another is evolving smoothly over time. We
Imene Mootamri +2 more
core
INTERNATIONAL TOURIST ARRIVALS IN THAILAND: FORECASTING WITH ARFIMA-FIGARCH APPROACH [PDF]
Annals of the University of Petrosani: Economics, 2010 Forecasting is an essential analytical tool for tourism policy andplanning. This paper focuses on forecasting methods based on ARFIMA(p,d,q)-FIGARCH(p,d,q).
KANCHANA CHOKETHAWORN +5 more
doaj
Inflação inercial sob mudanças de regime: análise a partir de um modelo MS-ARFIMA, 1944-2009
Economia Aplicada, 2011 Este artigo analisa a dinâmica da inflação brasileira a partir de uma estrutura fracionária com mudança de regime markoviana, MS-ARFIMA, fornecida por Tsay & W. (2009).
Erik Alencar de Figueiredo +1 more
doaj +1 more source
Prediction intervals in the ARFIMA model using bootstrap G
Financial Statistical Journal, 2018 This paper presents a bootstrap resampling scheme to build pre-diction intervals for future values in fractionally autoregressive movingaverage (ARFIMA) models. Standard techniques to calculate forecastintervals rely on the assumption of normality of the data and do nottake into account the uncertainty associated with parameter estima-tion.
Glaura C. Franco +2 more
openaire +2 more sources
Frontiers in Systems Neuroscience, 2019 Electroencephalogram (EEG) undergoes complex temporal and spectral changes during voluntary movement intention. Characterization of such changes has focused mostly on narrowband spectral processes such as Event-Related Desynchronization (ERD) in the ...
Maitreyee Wairagkar +2 more
doaj +1 more source
Jurnal Matematika Integratif, 2019 Investors having an understanding of investment statistics are important. Especially quantitative tools related to investment risk measurement. Value-at-Risk Adjusted is one of the investment risk measurement tools, which assumes that returns are not ...
F Sukono +4 more
doaj +1 more source