The present study investigates the long memory property of market pig prices. Simply knowing that these time series have long term dependence could have strong significance when forecasting prices. The presence of long memory is crucial information in making business decisions and creating...

We bring together some recent advances in the literature on vector autoregressive moving - average models creating a relatively simple specification and estimation strategy for the cointegrated case. We show that in the cointegrated case with fixed initial values there exists a so-called final...

We develop a Cp statistic for the selection of regression models with stationary and nonstationary ARIMA error term. We derive the asymptotic theory of the maximum likelihood estimators and show they are consistent and asymptotically Gaussian. We also prove that the distribution of the sum of...

The purpose of this paper is to construct adequate seasonal ARIMA models, using Box-Jenkins methodology, and to implement them in order to forecast short run flows of tourist arrivals and tourist overnight stays in Montenegro. Time scope covers ten years, from 2001/01 to 2010/12, while twelve...

I translate familiar concepts of discrete-time time-series to contnuous-time equivalent. I cover lag operators, ARMA models, the relation between levels and differences, integration and cointegration, and the Hansen-Sargent prediction formulas

I translate familiar concepts of discrete-time time-series to continuous-time equivalent. I cover lag operators, ARMA models, the relation between levels and differences, integration and cointegration, and the Hansen-Sargent prediction formulas

This study investigates the practical importance of several VaR modeling and forecasting issues in the context of intraday stock returns. Value-at-Risk (VaR) predictions obtained from daily GARCH models extended with additional information such as the realized volatility and squared overnight...

This study is a master thesis for a master's program in Economics and Finance in the Department of Economics and Political Sciences at the University of Skövde. As the title indicates, the aim of the thesis is to use ARIMA and VAR models to predict inflation in Ghana. In order to fulfil this...

This paper proposes a new mutual independence test for a large number of high dimensional random vectors. The test statistic is based on the characteristic function of the empirical spectral distribution of the sample covariance matrix. The asymptotic distributions of the test statistic under...