Results 71 to 80 of about 21,636,733 (224)

Fractional stochastic volatility model

Journal of Time Series Analysis, Volume 46, Issue 2, Page 378-397, March 2025.
This article introduces a discrete‐time fractional stochastic volatility model (FSV) based on fractional Gaussian noise. The new model includes the standard stochastic volatility model as a special case and has the same limit as the fractional integrated stochastic volatility (FISV) model, which is the continuous‐time fractional Ornstein–Uhlenbeck ...
Shuping Shi, Xiaobin Liu, Jun Yu
wiley   +1 more source

Forecasting Temperature Time Series Data Using Combined Statistical and Deep Learning Methods: A Case Study of Nairobi County Daily Temperature

International Journal of Mathematics and Mathematical Sciences, Volume 2025, Issue 1, 2025.
Accurate temperature forecasting is of paramount importance across various sectors, influencing decision‐making processes and impacting numerous aspects of daily life. This study analyzes temperature time series data from the Nairobi County in Kenya, aiming to develop accurate hybrid time series forecasting models.
John Kamwele Mutinda, Amos Kipkorir Langat, Samuel Musili Mwalili, Ayesha Ikram   +3 more
wiley   +1 more source

Is there Long Memory in Stock Markets, or Does it Depend on the Model, Period or Frequency?

Ensayos Revista de Economía, 2017
This paper analyses the existence of long memory in the major stock markets in the world, and if this is the case, whether it’s due to the type of econometric models used, the period of study or the frequency of data (intraday, daily, weekly, etc.)?
Héctor F. Salazar-Núñez, Francisco Venegas-Martínez, Cuahutémoc Calderón-Villareal   +2 more
doaj   +1 more source

PPP Solution‐Based Model of Absolute Vertical Movements of the Earth's Crust in Poland With Consideration of Geological, Tectonic, Hydrological and Mineral Information

Earth and Space Science, Volume 11, Issue 12, December 2024.
Abstract This study aims to develop an absolute model of contemporary Vertical Crustal Movements (VCM) and Vertical Land Movements (VLM) in an area of Poland based on GNSS solutions. Velocities at permanent stations were subjected to geological, tectonic, hydrological and mineral information analyses.
B. Naumowicz, K. Kowalczyk, R. Pelc‐Mieczkowska   +2 more
wiley   +1 more source

Computational aspects of Bayesian spectral density estimation

, 2011
Gaussian time-series models are often specified through their spectral density. Such models present several computational challenges, in particular because of the non-sparse nature of the covariance matrix.
Chopin, Nicolas, Liseo, Brunero, Rousseau, Judith   +2 more
core   +5 more sources

Labor market forecasting in unprecedented times: A machine learning approach

Bulletin of Economic Research, Volume 76, Issue 4, Page 893-915, October 2024.
Abstract The COVID‐19 pandemic ushered in unprecedented social and economic conditions, alongside unexpected policy responses, challenging the effectiveness of traditional labor market forecasting approaches. This article presents a novel approach that integrates macroeconomic variables, traditional labor market metrics, and Google search data to ...
Johanna M. Orozco‐Castañeda, Lya Paola Sierra‐Suárez, Pavel Vidal   +2 more
wiley   +1 more source

Directional dependency and coastal framework geology: implications for barrier island resilience [PDF]

Earth Surface Dynamics, 2018
Barrier island transgression is influenced by the alongshore variation in beach and dune morphology, which determines the amount of sediment moved landward through wash-over.
P. A. Wernette, P. A. Wernette, P. A. Wernette, C. Houser, B. A. Weymer, M. E. Everett, M. P. Bishop, B. Reece   +7 more
doaj   +1 more source

Local Whittle estimation with (quasi‐)analytic wavelets

Journal of Time Series Analysis, Volume 45, Issue 3, Page 421-443, May 2024.
In the general setting of long‐memory multivariate time series, the long‐memory characteristics are defined by two components. The long‐memory parameters describe the autocorrelation of each time series. And the long‐run covariance measures the coupling between time series, with general phase parameters.
Sophie Achard, Irène Gannaz
wiley   +1 more source

Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models [PDF]

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular emphasis of this paper is on assessing the performance of long memory time series models in comparison to their short-memory ...
Kaizoji, Taisei, Lux, Thomas
core  

Macro‐financial linkages in the high‐frequency domain: Economic fundamentals and the Covid‐induced uncertainty channel in US and UK financial markets

International Journal of Finance &Economics, Volume 29, Issue 2, Page 1581-1608, April 2024.
Abstract This article contributes to our understanding of the macro‐financial linkages in the high‐frequency domain during the recent health crisis. Building on the extant literature that mainly uses monthly or quarterly macro proxies, we examine the daily economic impact on intra‐daily financial volatility by applying the macro‐augmented HEAVY model ...
Guglielmo Maria Caporale, Menelaos Karanasos, Stavroula Yfanti   +2 more
wiley   +1 more source