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Forecasting the daily time‐varying beta of European banks during the crisis period : comparison between GARCH models and the Kalman filter
Zhang, Yuanyuan; Choudhry, Taufiq - In: Journal of forecasting 36 (2017) 8, pp. 956-973
Persistent link: https://www.econbiz.de/10011860929
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l 1 - penalized likelihood smoothing of volatility processes allowing for abrupt changes
Neto, David; Sardy, Sylvain; Tseng, Paul - 2009
Persistent link: https://www.econbiz.de/10003926975
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Forecasting volatility by using wavelet transform, ARIMA and GARCH models
Rubio, Lihki; Palacio Pinedo, Adriana; Mejía Castaño, … - In: Eurasian economic review : a journal in applied … 13 (2023) 3/4, pp. 803-830
Persistent link: https://www.econbiz.de/10014452054
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Improved beta modeling and forecasting : an unobserved component approach with conditional heteroscedastic disturbances
Ortas, E.; Salvador, Manuel; Moneva, J. M. - In: The North American journal of economics and finance : a … 31 (2015), pp. 27-51
Persistent link: https://www.econbiz.de/10011511029
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New approach in dealing with the non-negativity of the conditional variance in the estimation of GARCH model
Settar, Abdeljalil; Fatmi, Nadia Idrissi; Badaoui, Mohammed - In: Central European journal of economic modelling and … 13 (2021) 1, pp. 55-74
Persistent link: https://www.econbiz.de/10012439109
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Analysis of the unemployment gender gap in Colombia 2001-2021 : a SARIMA-GARCH model approach
Mantilla Romero, Carolina; Cárdenas, Greissly; Ramoni … - In: Cuadernos de administración : quarterly publication of … 38 (2022) 74, pp. 1-13
Persistent link: https://www.econbiz.de/10014265888
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Multiscale agricultural commodities forecasting using wavelet-SARIMA process
Diop, Mamadou-Diéne; Kamdem, Jules Sadefo - In: Journal of quantitative economics 21 (2023) 1, pp. 1-40
Persistent link: https://www.econbiz.de/10014259126
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Forecasting the total non-coincidental monthly system peak demand in the Philippines : a comparison of seasonal autoregressive integrated moving average models and artificial neura...
Parreno, Samuel John - In: International Journal of Energy Economics and Policy : IJEEP 13 (2023) 5, pp. 544-552
Persistent link: https://www.econbiz.de/10014384462
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Forecasting of Remotely Sensed Daily Evapotranspiration Data Over Nile Delta Region, Egypt
Psilovikos, Aris; Elhag, Mohamed - In: Water Resources Management 27 (2013) 12, pp. 4115-4130
model was established to test the correlation between the forecasted daily evapotranspiration values using S-ARIMA model and …
Persistent link: https://www.econbiz.de/10010997478
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On time series modeling of Nigeria's external reserves
Doguwa, Sani I.; Alade, Sarah O. - In: CBN journal of applied statistics 6 (2015) 1, pp. 1-28
autoregressive integrated moving average (SARIMA), seasonal autoregressive integrated moving average with an exogenous input (SARIMA …-out-of-sample forecasting procedure over July 2013 to May 2014. The results show that SARIMA model outperformed the other models in three to six … external reserves in longer horizon, the paper concludes that seasonality should be accounted for by using the SARIMA model. …
Persistent link: https://www.econbiz.de/10011473622