Results 101 to 110 of about 13,873,042 (261)
Testing and modelling autoregressive conditional heteroskedasticity of streamflow processes [PDF]
Nonlinear Processes in Geophysics, 2005 Conventional streamflow models operate under the assumption of constant variance or season-dependent variances (e.g. ARMA (AutoRegressive Moving Average) models for deseasonalized streamflow series and PARMA (Periodic AutoRegressive Moving Average ...
W. Wang +4 more
doaj
A Note on an Iterative Least Squares Estimation Method for ARMA and VARMA Models [PDF]
In this note we suggest a new iterative least squares method for estimating scalar and vector ARMA models. A Monte Carlo study shows that the method has better small sample properties than existing least squares methods and compares favourably with ...
George Kapetanios
core
Another Look at the (Ir)Relevance of Long‐Run Risks for Equity Risk Premia
Journal of Money, Credit and Banking, EarlyView.Abstract I investigate the empirical asset pricing implications of a three‐factor macro model that extends the baseline consumption model Consumption Capital Asset Pricing Model (CCAPM) by adding the innovations in expected long‐run consumption growth (consumption growth news) and expected long‐run consumption variance (variance news) as risk factors ...
PAULO MAIO
wiley +1 more source
Aceh International Journal of Science and Technology, 2018 This study provides an overview in combining spatial analysis and time series analysis to model the frequency of earthquake. The aim of this research is to apply the spatial statistical analysis and time series analysis in estimating semivariogram ...
Fachri Faisal, Pepi Novianti, Jose Rizal
doaj +1 more source
Modeling and forecasting electricity loads: A comparison [PDF]
In this paper we study two statistical approaches to load forecasting. Both of them model electricity load as a sum of two components – a deterministic (representing seasonalities) and a stochastic (representing noise).
Rafal Weron, Adam Misiorek
core
A Bayesian Analysis of Spectral ARMA Model [PDF]
, 2012 Bezerra et al. (2008) proposed a new method, based on Yule-Walker equations, to estimate the ARMA spectral model. In this paper, a Bayesian approach is developed for this model by using the noninformative prior proposed by Jeffreys (1967).
Iano, Yuzo +4 more
core +1 more source
EU ETS Market Expectations and Rational Bubbles
Journal of Money, Credit and Banking, EarlyView.Abstract The European Union Emissions Trading System (EU ETS) experienced sharp allowance price increases from 2018 onward, prompting claims that rational bubbles were driving the surge. We reassess this hypothesis using expectations based on futures prices.
CHRISTOPH WEGENER +2 more
wiley +1 more source
The Cross and Conflict: How Do Christians Impact Protest Dynamics?
Journal for the Scientific Study of Religion, EarlyView.ABSTRACT This study examines the relationship between Christian actors, practices, and sacred sites in US protests and demonstrations, focusing on how political ideology shapes conflict outcomes. Using event‐level data from the Armed Conflict Location & Event Data Project (ACLED), the analysis explores 63,000 protest events from 2020 to 2024 ...
Joel Day
wiley +1 more source
The second derivative of the likelihood of an exact ARMA model [PDF]
ARMA Models ...
Leeuw, J.L. van der
core
Journal of Time Series Analysis, EarlyView.ABSTRACT We propose a new formulation of the Vašičekmodel within the framework of functional data analysis. We treat observations (continuous‐time rates) within a suitably defined trading day as a single statistical object. We then consider a sequence of such objects, indexed by day.
Piotr Kokoszka +4 more
wiley +1 more source