Results 91 to 100 of about 10,065 (268)
Asymptotic Theory for a Vector ARMA-GARCH Model, [PDF]
This paper investigates the asymptotic theory for a vector ARMA-GARCH model. The conditions for the strict stationarity, ergodicity, and the higherorder moments of the model are established.
Michael McAleer, Shiqing Ling
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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
A Comparative APARCH Volatility Study of International Markets
EconomiesThis paper compares the daily return volatility by four leading international indices: JSE Top 40, FTSE 100, Nikkei 225 and S&P/ASX 200. The return series are modelled in ARMA process, where ARMA(1,3) values are taken for JSE Top 40 and S&P/ASX 200, ARMA(
Fhulufhedzani Justice Madega +3 more
doaj +1 more source
Journal of Management Studies, EarlyView.Abstract Humanity – the virtue enabling meaningful human connection – is vital to the leadership we need to survive our polycrisis context. As a prerequisite to sustainable human community, the virtue of humanity is considered universal. It has been claimed as a ‘higher‐order virtue’, comprised of and enacted by – but irreducible to – a suite of ‘lower‐
Toby Newstead +3 more
wiley +1 more source
Using Subspace Methods for Estimating ARMA Models for Multivariate Time Series with Conditionally Heteroskedastic Innovations [PDF]
This paper deals with the estimation of linear dynamic models of the ARMA type for the conditional mean for time series with conditionally heteroskedastic innovation process widely used in modelling financial time series.
Dietmar Bauer
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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
FORECASTING SPOT ELECTRICITY PRICES WITH TIME SERIES MODELS [PDF]
In this paper we study simple time series models and assess their forecasting performance. In particular we calibrate ARMA and ARMAX (where the exogenous variable is the system load) processes.
Rafal Weron, Adam Misiorek
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Econometrics, 2014 In this paper we propose a test for a set of linear restrictions in a Vector Autoregressive Moving Average (VARMA) model. This test is based on the autoregressive metric, a notion of distance between two univariate ARMA models, M0 and M1, introduced by ...
Francesca Di Iorio, Umberto Triacca
doaj +1 more source
A Conditional Tail Expectation Type Risk Measure for Time Series
Journal of Time Series Analysis, EarlyView.ABSTRACT We consider the estimation of the conditional expectation 𝔼(Xh|X0>UX(1/p)), provided 𝔼|X0|<∞, at extreme levels, where (Xt)t∈ℤ$$ {\left({X}_t\right)}_{t\in \mathbb{Z}} $$ is a strictly stationary time series, UX$$ {U}_X $$ its tail quantile function, h$$ h $$ is a positive integer and p∈(0,1)$$ p\in \left(0,1\right) $$ is such that p→0$$ p\to ...
Yuri Goegebeur +2 more
wiley +1 more source
Numerical simulations of sanding under different stress regimes
, 2012 Laboratory experiments of sand production conducted under true-triaxial stress conditions were simulated numerically using ABAQUS program. The experiments were performed in a true-triaxial stress cell on 100×100×100 mm3 cubes of synthetic sandstones. Two
Rasouli, Vamegh +2 more
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