Results 11 to 20 of about 23,794,745 (244)
Using Fuzzy-ARFIMA Models to Predict Births in Basra Governorate
Journal of Physics: Conference Series, 2021 Today’s time series analysis is one of the most important statistical methods in forecasting, and it has been used in many economic, industrial, commercial and science fields, by representing time series characterized by long-term memory that helps ...
Raissan A. Zalan, Zainab Sami Yaseen
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Frontiers in Applied Mathematics and Statistics, 2022 IntroductionThe price of crude oil as an essential commodity in the world economy shows a pattern and identifies the component factors that influence it in the short and long term.
Dodi Devianto +4 more
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Time Series Modeling of Guinea Fowls Production in Kenya Using the ARIMA and ARFIMA Models
, 2021 Commercial farming of Guinea Fowls is at its infant stages and is generating a lot of interest for farmers in Kenya. This, coupled with an increased demand for poultry products in the Kenyan market in the recent past, calls for the rearing of the guinea ...
Cecilia Mbithe Titus +2 more
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BOOTSTRAP ASSISTED SPECIFICATION TESTS FOR THE ARFIMA MODEL [PDF]
Econometric Theory, 2011 This paper proposes bootstrap assisted specification tests for the autoregressive fractionally integrated moving average model based on the BartlettTp-process with estimated parameters whose limiting distribution under the null depends on the estimated model and the estimation method employed.
Delgado, Miguel A. +2 more
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Stock-return volatility persistence over short and long range horizons: Some empirical evidences
Jurnal Perspektif Pembiayaan dan Pembangunan Daerah, 2020 In this paper, we account for memory failure or otherwise in the daily evolution of stock return and volatility within the purview of short and long ranges based on the arrival of fundamental news.
Kolawole Subair, Ajibola Arewa
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Forecasting realised volatility using ARFIMA and HAR models [PDF]
Quantitative Finance, 2019 Recent literature provides mixed empirical evidence with respect to the forecasting performance of ARFIMA and HAR models. This paper compares the forecasting performance of both models using high frequency data of 100 stocks representing 10 business sectors for the period 2000-2010.
Marwan Izzeldin +3 more
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Mathematics, 2021 The peaks-over-threshold (POT) method has a long tradition in modelling extremes in environmental variables. However, it has originally been introduced under the assumption of independently and identically distributed (iid) data. Since environmental data
Pushpa Dissanayake +3 more
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SMALL-SAMPLE LIKELIHOOD-BASED INFERENCE IN THE ARFIMA MODEL [PDF]
Econometric Theory, 2000 The autoregressive fractionally integrated moving average (ARFIMA) model has become a popular approach for analyzing time series that exhibit long-range dependence. For the Gaussian case, there have been substantial advances in the area of likelihood-based inference, including development of the asymptotic properties of the maximum likelihood ...
Offer Lieberman +2 more
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Journal of Computing Research and Innovation, 2021 Gold is known as the most valuable commodity in the world because it is a universal currency recognized by every single bank across the globe. Thus, many people were interested in investing gold since gold market was always steadier compared to other ...
Atiqa Nur Azza Mahmad Azan +2 more
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Testing for long memory in volatility in the Indian Forex market [PDF]
Ekonomski Anali, 2014 This article attempts to verify the presence of long memory in volatility in the Indian foreign exchange market using daily bilateral returns of the Indian Rupee against the US dollar from 17/02/1994 to 08/11/2013.
Kumar Anoop S.
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