Results 81 to 90 of about 13,793,172 (210)

Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation

Studies in Nonlinear Dynamics & Econometrics, 2004
Practical aspects of likelihood-based inference and forecasting of series with long memory are considered, based on the arfima(p; d; q) model with deterministic regressors. Sampling characteristics of approximate and exact first-order asymptotic methods are compared. The analysis is extended using modified profile likelihood analysis, which is a higher-
Doornik, J, Ooms, M
openaire   +3 more sources

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  

Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model [PDF]

In this paper, we apply the ARFIMA-GARCH model to the realized volatility and the continuous sample path variations constructed from high-frequency Nikkei 225 data.
Toshiaki Watanabe, Isao Ishida
core   +5 more sources

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, THANES SRIWICHAILAMPHAN,, SONGSAK SRIBOONCHITTA, CHUKIAT CHAIBOONSRI, JITTAPORN SRIBOONJIT, PRASERT CHAITIP   +5 more
doaj  

Uma avaliação da volatilidade dos preços da soja no mercado internacional com dados de alta frequência An evaluation of the volatility of soybeans prices in the international market using high frequency data

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, Marcelo Cabus Klotzle, Antonio Carlos Figueiredo Pinto, Gabriel Levrini   +3 more
doaj   +1 more source

Perbandingan Metode Exact Maximum Likelihood (EML) dan Modified Profile Likelihood pada Pendugaan Parameter Model Autoregressive Fraksionally Integrated Moving Average (ARFIMA) [PDF]

, 2009
Model ARFIMA merupakan pengembangan dari model ARIMA yang ordo pembedanya, d, bernilai pecahan dan digunakan untuk memodelkan data deret waktu memori jangka panjang (long memory), yaitu suatu deret yang mempunyai ciri-ciri ketergantungan antara ...
EmiFaturrahmi
core  

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, André M. Marques   +1 more
doaj   +1 more source

Modeling the Ongoing Dynamics of Short and Long-Range Temporal Correlations in Broadband EEG During Movement

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, Yoshikatsu Hayashi, Slawomir J. Nasuto   +2 more
doaj   +1 more source

Prediction of maintenance workforce efficiency using neural networks, fuzzy inference system and autoregressive fractionally integrated moving average for a process industry

Vietnam Journal of Science, Technology and Engineering
This study establishes the efficiency of the maintenance workforce in a process plant, utilising combined models, including artificial neural networks (ANN)-weighted aggregated sum product assessment (WASPAS) and ANN-fuzzy inference system (FIS)-WASPAS.
Sunday Ayoola Oke, Desmond Eseoghene Ighravwe   +1 more
doaj  

Estimation of Value-at-Risk Adjusted under the Capital Asset Pricing Model Based on ARMAX-GARCH Approach

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, Eman Lesmana, Dwi Susanti, Herlina Napitupulu, Yuyun Hidayat   +4 more
doaj   +1 more source