Results 41 to 50 of about 10,065 (268)
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2015 The article points out the possibilities of using static D-Vine copula ARMA-GARCH model for estimation of 1 day ahead market Value at Risk. For the illustration we use data of the four companies listed on Prague Stock Exchange in range from 2010 to 2014.
Václav Klepáč, David Hampel
doaj +1 more source
Intraday Functional PCA Forecasting of Cryptocurrency Returns
Journal of Forecasting, EarlyView.ABSTRACT We study the functional PCA (FPCA) forecasting method in application to functions of intraday returns on Bitcoin. We show that improved interval forecasts of future return functions are obtained when the conditional heteroscedasticity of return functions is taken into account.
Joann Jasiak, Cheng Zhong
wiley +1 more source
On the Adequacy of Using T Approximation in Bayesian Inferences of Arma Models [PDF]
The Egyptian Statistical Journal, 1999 The main objective of this paper is to examine the adequacy of using the t approximation in handling the Bayesian inferential problems of autoregressive-moving average (ARMA) processes.
Samir Shaarawy, Gamal El-Shawadfy
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R-estimation for arma models [PDF]
Journal of Nonparametric Statistics, 2001 This paper is devoted to the It-estimation problem for the parameter of a stationary ARMA model. The asymptotic uniform linearity of a suitable vector of rank statistics leads to the asymptotic normality of v/w-consistent R-estimates resulting from the minimization of the norm of this vector.
Allal, Jelloul +2 more
openaire +3 more sources
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
Predicting Annual Tigris River Streamflow at Kut Barrage using SAMS Program
Wasit Journal of Engineering SciencesForecasting synthetic hydrologic data is the primary goal of the Stochastic Analysis, Modeling, and Simulation (SAMS) program. This research examined yearly data on the streamflow of the Kut Barrage on the Tigris River spanning 21 years, from 2003 to ...
Ghufran R. AL-Youdawi +1 more
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DSGE Model Forecasting: Rational Expectations Versus Adaptive Learning
Journal of Forecasting, EarlyView.ABSTRACT This paper compares within‐sample and out‐of‐sample fit of a DSGE model with rational expectations to a model with adaptive learning. The Galí, Smets, and Wouters model is the chosen laboratory using quarterly real‐time euro area data vintages, covering 2001Q1–2019Q4.
Anders Warne
wiley +1 more source
Efficiency of the ِApproximate Bayesian Prediction of ARMA Models: A Simulation Study [PDF]
The Egyptian Statistical Journal, 2008 This paper is interested in the Efficiency of the approximate Bayesian Prediction of ARMA Models. Three different approximate one step-ahead predictive densities using three different approximate are considered.
Emad El-Din Soliman
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Predicting EU Emissions Allowance Prices Using Macroeconomic Indicators and Hybrid AI Models
Journal of Forecasting, EarlyView.ABSTRACT Predicting carbon allowance prices has grown more crucial in relation to carbon market regulation, financial strategy, and environmental policy development. This study examines a hybrid forecasting system that combines deep learning with ensemble machine learning models to forecast the price fluctuations of EU Emissions Allowance (EUAs) within
Saptarshi Ganguly +2 more
wiley +1 more source
Food Safety and Health, EarlyView.This paper highlights a concerning scenario of environmental contamination by multidrug‐resistant bacteria, underscoring the need for integrated surveillance and control strategies to address antimicrobial resistance in aquatic environments within the context of One Health.
Francisco Lucas de Amorim Nascimento +13 more
wiley +1 more source