Results 91 to 100 of about 205,970 (321)
Stationarity and Memory of ARCH Models [PDF]
Sufficient conditions for strict stationarity of ARCH(8) are established, without imposing covariance stationarity and for any specification of the conditional second moment coefficients.
Paolo Zaffaroni
core
The consideration of processes non-stationarity in gas tract of the internal combustion engine
Известия высших учебных заведений: Проблемы энергетики, 2017 The results of an experimental study of the effect of the gas-dynamic non-stationarity on gas dynamics and the local heat in the exhaust pipe of a piston engine are presented in the article.
L. V. Plotnikov +2 more
doaj +1 more source
Deep Learning and Machine Learning Insights Into the Global Economic Drivers of the Bitcoin Price
Journal of Forecasting, EarlyView.ABSTRACT This study examines the connection between Bitcoin and global factors, including the VIX, the oil price, the US dollar index, the gold price, and interest rates estimated using the Federal funds rate and treasury securities rate, for forecasting analysis.
Nezir Köse +2 more
wiley +1 more source
Dealing with non-stationarity in sub-daily stochastic rainfall models
Hydrology and Earth System Sciences, 2018 . Understanding the stationarity properties of rainfall is critical when using stochastic weather generators. Rainfall stationarity means that the statistics being accounted for remain constant over a given period, which is required for both inferring ...
L. Benoit, M. Vrac, G. Mariéthoz
semanticscholar +1 more source
Modeling and Forecasting the CBOE VIX With the TVP‐HAR Model
Journal of Forecasting, EarlyView.ABSTRACT This study proposes the use of a heterogeneous autoregressive model with time‐varying parameters (TVP‐HAR) to model and forecast the Chicago Board Options Exchange (CBOE) volatility index (VIX). To demonstrate the superiority of the TVP‐HAR model, we consider six variations of the model with different bandwidths and smoothing variables and ...
Wen Xu +2 more
wiley +1 more source
Bell's inequality violation due to misidentification of spatially non stationary random processes
, 2003 Correlations for the Bell gedankenexperiment are constructed using probabilities given by quantum mechanics, and nonlocal information. They satisfy Bell's inequality and exhibit spatial non stationarity in angle.
Bell J. S., Louis Sica
core +1 more source
Multiple Seasonal Autoregressive Integrated Moving Average Models
Journal of Forecasting, EarlyView.ABSTRACT Many empirical time series show periodic patterns. SARIMA models and exponential smoothing methods are classical approaches to account for seasonal dynamics. However, they allow to model just one periodic component, while several time series have multiple seasonality, with periodic components possibly tangled among them.
Francesco Lisi, Matteo Grigoletto
wiley +1 more source
Geological Journal, EarlyView.ABSTRACT This research intends to examine how renewable energy (REN) consumption and natural resource (RES) rents affect the environmental impact of consumption in Switzerland. Along with REN and RES, the study considers Information and Communication Technology (ICT) and participatory democracy as other independent variables of interest.
Muhammad Khalid Anser +3 more
wiley +1 more source
Testing for Strict Stationarity [PDF]
The investigation of the presence of structural change in economic and financial series is a major preoccupation in econometrics. A number of tests have been developed and used to explore the stationarity properties of various processes.
George Kapetanios
core
Health Economics, EarlyView.ABSTRACT This article examines the relationship between economic development and tobacco consumption in Spain, using the Kuznets Curve framework. Drawing on panel data from Spanish provinces (2002–2021), the findings confirm that GDP has a non‐linear effect on cigarette consumption.
Miguel Ángel Del Arco‐Osuna +3 more
wiley +1 more source