Search Results - subject:"ARIMA Model"

STATISTICAL ANALYSIS OF GENETIC ALGORITHMS IN DISCOVERING TECHNICAL TRADING STRATEGIES

Tsao, Chueh-Yung; Chen, Shu-Heng - In: Applications of artificial intelligence in finance and …, (pp. 1-43). 2004

In this study, the performance of ordinal GA-based trading strategies is evaluated under six classes of time series model, namely, the linear ARMA model, the bilinear model, the ARCH model, the GARCH model, the threshold model and the chaotic model. The performance criteria employed are the...

Persistent link: https://www.econbiz.de/10015388171

Forecasting industrial production and the early detection of turning points

Bruno, Giancarlo; Lupi, Claudio - In: Empirical economics : a journal of the Institute for … 29 (2004) 3, pp. 647-671

Persistent link: https://www.econbiz.de/10002223243

Response to the commentaries

Miller, Don M.; Williams, Dan - In: International journal of forecasting 20 (2004) 4, pp. 569-571

Persistent link: https://www.econbiz.de/10002433910

The exact maximum likelihood estimation of ARFIMA processes and model selection criteria : a Monte Carlo study

Lardic, Sandrine (contributor); Mignon, Valérie (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001760400

Frequeny-domain estimation of fractionally integrated processes : impact of short-term components on the bandwidth choice

Lardic, Sandrine (contributor); Mignon, Valérie (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001760407

Multifractality of the Istanbul and Moscow Stock Market returns

Balcilar, Mehmet - In: Emerging markets finance & trade : a journal of the … 39 (2003) 2, pp. 5-46

Persistent link: https://www.econbiz.de/10001764478

The nature of persistence in Turkish real exchange rates

Erlat, Haluk - In: Emerging markets finance & trade : a journal of the … 39 (2003) 2, pp. 70-97

Persistent link: https://www.econbiz.de/10001764482

Long memory in financial time series data with non-Gaussian disturbances

Gil-Alaña, Luis A. - In: International journal of theoretical and applied finance 6 (2003) 2, pp. 119-134

Persistent link: https://www.econbiz.de/10001769123

Assessing the forecasting performance of regime-switching, ARIMA and GARCH models of house prices

Crawford, Gordon W.; Fratantoni, Michael C. - In: Real estate economics : journal of the American Real … 31 (2003) 2, pp. 223-243

Persistent link: https://www.econbiz.de/10001770269

Long memory and outliers in stock market returns

Tolvi, Jussi - In: Applied financial economics 13 (2003) 7, pp. 495-502

Persistent link: https://www.econbiz.de/10001770770