Results 121 to 130 of about 4,760 (217)

Long Memory Persistence in the Factor of Implied Volatility Dynamics [PDF]

The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IV S). Practical applications require reducing the dimension and characterize its dynamics through a small number of ...
Julius Mungo, Wolfgang Härdle
core  

Forecasting commodity prices: empirical evidence using deep learning tools. [PDF]

Ann Oper Res, 2023
Ben Ameur H, Boubaker S, Ftiti Z, Louhichi W, Tissaoui K.   +4 more
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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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

Addressing non-stationarity with stochastic trend in the context of limited time series data: An experimental survey in healthcare analytics

Applied Computer Science
Stationarity is a fundamental assumption in time series modeling that underlies reliable statistical inference and forecasting. Time series data can be found in many domains, including industry, engineering, finance, economics, epidemiology, and health ...
Apollinaire BATOURE BAMANA, Yannick SOKDOU BILA LAMOU, David Jaures FOTSA-MBOGNE, Mahdi SHAFIEE KAMALABAD   +3 more
doaj   +1 more source

Temporal Structure in Sensorimotor Variability: A Stable Trait, But What For? [PDF]

Comput Brain Behav, 2023
Perquin MN, van Vugt MK, Hedge C, Bompas A.   +3 more
europepmc   +1 more source

Maximum-likelihood estimation of fractional cointegration with application to the short end of the yield curve [PDF]

We estimate a multivariate autoregressive fractionally-integrated moving-average (ARFIMA) model to illustrate a cointegration testing methodology based on joint estimates of the fractional orders of integration of a cointegrating vector and its parent ...
Michael Dueker, Richard Startz
core  

A Hybrid Approach Combining the Lie Method and Long Short-Term Memory (LSTM) Network for Predicting the Bitcoin Return

Fractal and Fractional
This paper introduces hybrid models designed to analyze daily and weekly bitcoin return spanning the periods from 18 July 2010 to 28 December 2023 for daily data, and from 18 July 2010 to 24 December 2023 for weekly data. Firstly, the fractal and chaotic
Melike Bildirici, Yasemen Ucan, Ramazan Tekercioglu   +2 more
doaj   +1 more source

Model-based stationarity filtering of long-term memory data applied to resting-state blood-oxygen-level-dependent signal. [PDF]

PLoS One, 2022
Bansal IR, Ashourvan A, Bertolero M, Bassett DS, Pequito S.   +4 more
europepmc   +1 more source

Forecasting Realized Volatility Using A Nonnegative Semiparametric Model [PDF]

This paper introduces a parsimonious and yet flexible nonnegative semiparametric model to forecast financial volatility. The new model extends the linear nonnegative autoregressive model of Barndorff-Nielsen & Shephard (2001) and Nielsen & Shephard (2003)
Anders ERIKSSON, Daniel PREVE, Jun YU
core