The rapid generation in the wind power is a result of extensive research which is centrally focused on environmental and productive advantages of wind power. A major requirement for this growth is efficient prediction of local wind speed, which provide an estimated potential of wind speed...

The simultaneous analysis of several financial time series is important in portfolio setting and risk management. This paper proposes a novel alternating Expectation conditional Maximisation (AECM) algorithm to estimate the vector autoregressive moving average (VARMA) model with variance gamma...

We propose moving average threshold heterogeneous autoregressive (MAT-HAR) models as a novel combination of heterogeneous autoregression (HAR) and threshold autoregression (TAR). The MAT-HAR has multiple groups of lags of a target series, and a threshold term can appear in each group. The...

This paper proposes a hybrid modelling approach for forecasting returns and volatilities of the stock market. The model, called ARFIMA-WLLWNN model, integrates the advantages of the ARFIMA model, the wavelet decomposition technique (namely, the discrete MODWT with Daubechies least asymmetric...