Results 41 to 50 of about 4,516 (208)
Simultaneous Indirect Inference, Impulse Responses and ARMA Models
Econometrics, 2020 A two-stage simulation-based framework is proposed to derive Identification Robust confidence sets by applying Indirect Inference, in the context of Autoregressive Moving Average (ARMA) processes for finite samples.
Lynda Khalaf, Beatriz Peraza López
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Symbolic ARMA Model Analysis [PDF]
Computational Economics, 2013 ARMA models provide a parsimonious and flexible mechanism for modeling the evolution of a time series. Some useful measures of these models (e.g., the autocorrelation function or the spectral density function) are tedious to compute by hand. This paper uses a computer algebra system, not simulation, to calculate measures of interest associated with ...
Keith H. Webb, Lawrence M. Leemis
openaire +1 more source
Evaluating Forecasts at Multiple Horizons: An Extension of the Diebold–Mariano Approach
Journal of Forecasting, EarlyView.ABSTRACT Forecast accuracy tests are fundamental tools for comparing competing predictive models. The widely used Diebold–Mariano (DM) test assesses whether differences in forecast errors are statistically significant. However, its standard form is limited to pairwise comparisons at a single forecast horizon.
Andrew Grant +2 more
wiley +1 more source
Journal of Economic and Financial Sciences, 2019 Orientation: Modelling of international tourist arrivals’ volatility is vital for marketing, planning, policy formulation and investment purposes among others.
Delson Chikobvu, Tendai Makoni
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A Switchgrass-based Bioethanol Supply Chain Network Design Model under Auto-Regressive Moving Average Demand [PDF]
Journal of Renewable Energy and Environment, 2016 Switchgrass is known as one of the best second-generation lignocellulosic biomasses for bioethanol production. Designing efficient switchgrass-based bioethanol supply chain (SBSC) is an essential requirement for commercializing the bioethanol production ...
Hamid Ghaderi +2 more
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International Journal of Finance &Economics, EarlyView.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
Oikos, EarlyView.Grasslands, by definition, are dominated by graminoids. Nevertheless, forbs also make up a substantial part of vascular plant diversity in grasslands and are important resources of mammalian herbivores. However, forb recruitment is constrained by successful dominant graminoids, limiting access to safe sites for germination.
Gerardo Celis +5 more
wiley +1 more source
Journal of King Saud University: Computer and Information Sciences, 2014 To alleviate the limitations of statistical based methods of forecasting of exchange rates, soft and evolutionary computing based techniques have been introduced in the literature.
Minakhi Rout +3 more
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Forecasting of Stock Returns with Non linear Models and the role of Trading Volume in Improving the Performance of These Models [PDF]
تحقیقات مالی, 2012 Non-linear time series models have become fashionable tools to describe and forecast stock market returns in recent years. A significant amount of evidence supports a negative relationship between volume and future returns.
Ebrahim Abbasi, Sahar Bagheri
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Proteins: Structure, Function, and Bioinformatics, EarlyView.ABSTRACT We present the first x‐ray crystallographic structural evidence of an archaeal DNA ligase showing the AMP covalent adduct together with further cofactor hydrolysis, capturing a transient intermediary in the first step of the ligation reaction, triggered by the pyrophosphate hydrolysis.
A. X. Quintana‐Armas +3 more
wiley +1 more source