Hybrid Fourier asymmetric-garch estimation of value at risk and expected shortfall: Empirical evidence from crude oil prices. [PDF]
HeliyonDoabil L, Nasiru S, Iddrisu MM.
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FX market volatility modelling: Can we use low-frequency data? [PDF]
Financ Res Lett, 2021 Lyócsa Š, Plíhal T, Výrost T.
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Dependence between Chinese stock market and Vietnamese stock market during the Covid-19 pandemic. [PDF]
Heliyon, 2022 Nguyen VC, Nguyen TT.
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GARTFIMA process and its empirical spectral density based estimation. [PDF]
J Appl StatBhootna N, Kumar A.
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Fractional-order state space reconstruction: a new frontier in multivariate complex time series. [PDF]
Sci RepXie J +9 more
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Maximum Likelihood Estimators for Arma and ARFIMA Models: A Monte Carlo Study
, 1999 Michael Hauser
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Forecasting progress: analyzing the trajectory of under-five child mortality for Ghana, Niger, Nigeria, and Sierra Leone towards SDG3 using ARIMA time series model. [PDF]
BMC Public HealthAdama ZK, Mettle FO, Baiden BM, Bii NK.
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Multifractal Dynamics in Executive Control When Adapting to Concurrent Motor Tasks. [PDF]
Front Physiol, 2021 Arsac LM.
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Modelling for the Wavelet Coefficients of ARFIMA Processes
Modelling for the Wavelet Coefficients of ARFIMA ProcessesFebruary 2013 We consider the model for the discrete nonboundary wavelet coefficients of ARFIMA processes. Although many authors have explained the utility of the wavelet transform for the long dependent processes in semiparametrical literature, there have been a few studies in parametric setting.
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DeepVol: volatility forecasting from high-frequency data with dilated causal convolutions. [PDF]
Quant FinanceMoreno-Pino F, Zohren S.
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