Results 21 to 30 of about 6,621,438 (152)
Forecasting energy futures volatility based on the unbiased extreme value volatility estimator
IIMB Management Review, 2017 This paper uses the opening, high, low, and closing prices of five energy futures to estimate and model volatility based on the unbiased extreme value volatility estimator (the Add RS estimator).
Dilip Kumar
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ARFIMA Model for Short Term Forecasting of New Death Cases COVID-19 [PDF]
E3S Web of Conferences, 2020 COVID-19 is an infectious disease that can spread from one person to another and has a high potential for death. The infection of COVID-19 is spreading massive and fast that causes the extreme fluctuating data spread and long memory effects.
Kartikasari Puspita +2 more
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Revista de Economia e Sociologia Rural, 2007 O presente trabalho tem como objetivo modelar séries temporais para efeito de previsão com diferenciações inteira e fracionária, utilizando dados de preços futuros de commodities agrícolas.
Ricardo Chaves Lima +2 more
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Preliminary estimation of ARFIMA models
, 2000 In this article a new estimator for ARFIMA models is proposed.
CORDUAS, MARCELLA, Marcella Corduas
core +2 more sources
Investigation of Fractal Market Hypothesis in Emerging Markets: Evidence from the MINT Stock Markets
Organizations and Markets in Emerging Economies, 2022 This study aims to investigate the market efficiency of emerging stock markets, namely the Mexico, Indonesia, Nigeria, and Turkey (MINT) stock markets based on the Fractal Market Hypothesis.
Yunus Karaömer
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Predicting the Long-Term Dependencies in Time Series Using Recurrent Artificial Neural Networks
Machine Learning and Knowledge Extraction, 2023 Long-term dependence is an essential feature for the predictability of time series. Estimating the parameter that describes long memory is essential to describing the behavior of time series models.
Cristian Ubal +3 more
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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
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Partial Time‐Varying Regression Modelling Under General Heterogeneity
Journal of Time Series Analysis, EarlyView.ABSTRACT This paper studies a semiparametric time‐varying regression model in which a subset of regressors is associated with fixed parameters, while the remaining regressors have parameters that evolve smoothly over time. We propose a closed‐form semiparametric Frisch‐Waugh‐Lovell estimator for the fixed parameters, and a non‐parametric kernel type ...
Liudas Giraitis +3 more
wiley +1 more source
On the Efficacy of ARFIMA, ARTFIMA, and MARFIMA Models in Forecasting Nigerian Crude Oil Prices
UMYU Scientifica JournalThis study presents a comprehensive evaluation of three advanced long-memory time series models— the Autoregressive Fractionally Integrated Moving Average (ARFIMA), the Autoregressive Tempered Fractionally Integrated Moving Average (ARTFIMA), and the ...
Musa Tasi’u +3 more
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Forecasting long range dependent time series with exogenous variable using ARFIMAX model
The Indian Journal of Agricultural Sciences, 2020 Time series analysis and forecasting is one of the challenging issues of statistical modelling. Modelling of price and forecasting is a vital matter of concern for both the farming community and policy makers, especially in agriculture.
Krishna Pada Sarkar +6 more
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