Novel periodic extensions of dynamic long memory regression models with autoregressive conditional heteroskedastic errors are considered for the analysis of daily electricity spot prices. The parameters of the model with mean and variance specifications are estimated simultaneously by the method...

A class of autoregressive moving-average (ARMA) models proposed by Jorgensen and Song [Journal of Applied Probability (1998), Vol. 35, pp. 78-92] with exponential dispersion model margins are useful to deal with non-normal stationary time series with high-order autocorrelation. One property...

A new procedure for testing the fit of multivariate time series model is proposed. The method evaluates in a certain way the closeness of the sample spectral density matrix of the observed process to the spectral density matrix of the parametric model postulated under the null and uses for this...

This program helps to identification and aytomatic forecasting with ARMA models for forecasters and analysts.This program is compatible with EViews 3,3.1,4,4.1. For running it in EViews 5 and 5.1 simply check the box Version 4 compatible variable substitution

Methods for parameter estimation in the presence of long-range dependence and heavy tails are scarce. Fractional autoregressive integrated moving average (FARIMA) time series for positive values of the fractional differencing exponent d can be used to model long-range dependence in the case of...

This paper studies and assesses the impact of G3 Central Bank interventions on the DEM/USD exchange rate properties using daily realized moments of exchange rate returns (obtained from intraday data) for the period 1989-2001. Event studies in terms of the realized moments for the intervention...

The nature of the time series properties of real exchange rates remains a contentious issue primarily because of the implications for purchasing power parity. In particular are real exchange rates best characterized as stationary and non-persistent; nonstationary but non-persistent; or...

Increasing industrial growth throughout the world largely depends on availability of electricity. The overall situation in the power sector provides an optimistic view. However, insight into the thermal power industry provides a bleak picture. Thermal power stations mostly depend upon coal as a...

The aim of this paper is to investigate the predictability of stock returns. The Efficient Market Hypothesis or Random Walk is rejected and an Alternative Parametric Model (ARIMA) is proposed for modeling and forecasting stock returns. The results of the variance ratio test of Lo and MacKinlay...