Search Results - subject:"autoregressive integrated moving average model"

A robust Beveridge-Nelson decomposition using a score-driven approach with an application

Blasques, Francisco; van Brummelen, Janneke; Gorgi, Paolo; … - 2024

The equivalence of the Beveridge-Nelson decomposition and the trend-cycle decomposition is well established. In this paper we argue that this equivalence is almost immediate when a Gaussian score-driven location model is considered. We also provide a natural extension towards heavy-tailed...

Persistent link: https://www.econbiz.de/10014469831

A robust Beveridge-Nelson decomposition using a score-driven approach with an application

Blasques, F.; Brummelen, Janneke van; Gorgi, P.; … - In: Economics letters 236 (2024), pp. 1-5

Persistent link: https://www.econbiz.de/10015071895

A robust Beveridge-Nelson decomposition using a score-driven approach with an application

Blasques, Francisco; Brummelen, Janneke van; Gorgi, Paolo; … - 2024

Persistent link: https://www.econbiz.de/10014450610

Risk prediction and assessment: Duration, infections, and death toll of the COVID-19 and its impact on China's economy

Yue, Xiao-Guang; Shao, Xue-Feng; Li, Rita Yi Man; … - In: Journal of Risk and Financial Management 13 (2020) 4, pp. 1-26

comparison with the severe acute respiratory syndrome (SARS) graphs, followed by using the Autoregressive Integrated Moving … Average model, Autoregressive Moving Average model, Seasonal Autoregressive Integrated Moving-Average with Exogenous …

Persistent link: https://www.econbiz.de/10012611295

Risk prediction and assessment : duration, infections, and death toll of the COVID-19 and its impact on China's economy

Yue, Xiao-Guang; Shao, Xue-Feng; Li, Rita Yi Man; … - In: Journal of risk and financial management : JRFM 13 (2020) 4/66, pp. 1-26

Persistent link: https://www.econbiz.de/10012302535

Application of ARIMA modelling for the forecasting of solar, wind, spot and options electricity prices : the Australian National Electricity Market

Alsaedi, Yasir; Tularam, Gurudeo Anand; Wong, Victor - In: International Journal of Energy Economics and Policy : IJEEP 9 (2019) 4, pp. 263-272

Persistent link: https://www.econbiz.de/10012424611

The Future of Budgetary Allocation to Sports Sector in Pakistan: Evidences from Autoregressive Integrated Moving Average Model

Hussain, Anwar Hussain; Farid, Asif Farid; Hussain, … - Volkswirtschaftliche Fakultät, … - 2011

The study forecast Public Sector Development Program (PSDP) allocation to sports sector upto 2020 in Pakistan, utilizing time series secondary data ranging from 1988 to 2010, taken from official documents of the Ministry of Sports, Islamabad. For the analysis of the data, descriptive statistics...

Persistent link: https://www.econbiz.de/10011108730