Results 41 to 50 of about 6,621,438 (152)
Journal of Forecasting, Volume 45, Issue 4, Page 1579-1600, July 2026.ABSTRACT We study the accuracy of a variety of parametric price duration‐based realized variance estimators constructed via various financial duration models and compare their forecasting performance with the performance of various nonparametric return‐based realized variance estimators.
Björn Schulte‐Tillmann +2 more
wiley +1 more source
Environmetrics, Volume 37, Issue 3, April 2026.ABSTRACT We propose a new time series model for continuous data supported on the open unit interval (0,1)$$ \left(0,1\right) $$, motivated by applications in environmental and energy systems. The Matsuoka autoregressive moving average (MARMA) model combines the Matsuoka distribution‐a uniparametric member of the canonical exponential family‐as the ...
Guilherme Pumi +3 more
wiley +1 more source
Wavelet based long memory model for modelling wheat price in India
The Indian Journal of Agricultural Sciences, 2021 Agricultural time-series data concerning production, prices, export and import of several agricultural commodities is published by Indian government along with other private agricultural sectors every year.
RANJIT KUMAR PAUL +2 more
doaj +1 more source
A Fuzzy Framework for Realized Volatility Prediction: Empirical Evidence From Equity Markets
Journal of Forecasting, Volume 45, Issue 3, Page 1261-1291, April 2026.ABSTRACT This study introduces a realized volatility fuzzy time series (RV‐FTS) model that applies a fuzzy c‐means clustering algorithm to estimate time‐varying c latent volatility states and their corresponding membership degrees. These memberships are used to construct a fuzzified volatility estimate as a weighted average of cluster centroids.
Shafqat Iqbal, Štefan Lyócsa
wiley +1 more source
International Journal of Finance &Economics, Volume 31, Issue 2, Page 2845-2862, April 2026.ABSTRACT One of the critical risks associated with cryptocurrency assets is the so‐called downside risk, or tail risk. Conditional Value‐at‐Risk (CVaR) is a measure of tail risks that is not normally considered in the construction of a cryptocurrency portfolio.
Xinran Huang +3 more
wiley +1 more source
Вестник Пермского университета: Серия Экономика, 2019 The task of forecasting the dynamics of changes in the rates of financial instruments is relevant, since its solution would reduce risks and increase the profitability of operations in financial markets.
Pyotr Mikhailovich Simonov +1 more
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Forecasting cryptocurrency prices time series using machine learning approach [PDF]
SHS Web of Conferences, 2019 This paper describes the construction of the short-term forecasting model of cryptocurrencies’ prices using machine learning approach. The modified model of Binary Auto Regressive Tree (BART) is adapted from the standard models of regression trees and ...
Derbentsev Vasily +3 more
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Discrete Dynamics in Nature and Society, Volume 2026, Issue 1, 2026.Today, the astonishing growth of digital currency has attracted many bold investors. This has caused digital currencies to be gradually introduced as a new asset class with its own criteria. However, the relationship between traditional assets and new assets is not yet deeply understood. This study’s objective is to investigate the dynamic relationship
Farzaneh Shams Tarnabi, Fabio Tramontana
wiley +1 more source
THE IMPACT OF THE FINANCIAL CRISIS ON LONG MEMORY: EVIDENCE FROM EUROPEAN BANKING INDICES [PDF]
Annals of the University of Oradea: Economic Science, 2014 We have analyzed the impact of the financial crisis on the existence of the long term dependency for European banking indices. By estimating Hurst Exponent, ARFIMA and FIGARCH models we found that major financial crisis such as, Mexican, Asian and ...
Pece Andreea Maria +3 more
doaj
Journal of Applied Mathematics, Volume 2026, Issue 1, 2026.In this paper, we model edge traffic with a conformable fractional partial differential equation that keeps memory in time and space. The solution represents a unit‐free attack pressure, built from a z‐scored edge series, a quiet period baseline, and a partially absorbing boundary that reflects scrubbing and rate limits.
Ahmad Alshanty +3 more
wiley +1 more source