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  • Search: subject_exact:"ARFIMA-Modell"
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Year of publication
Subject
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ARMA model 1,359 ARMA-Modell 1,359 Zeitreihenanalyse 644 Time series analysis 641 Theorie 543 Theory 543 Forecasting model 432 Prognoseverfahren 432 Estimation theory 173 Schätztheorie 173 Estimation 159 Schätzung 159 ARCH model 151 ARCH-Modell 151 USA 139 United States 139 Volatility 139 Volatilität 138 VAR model 81 VAR-Modell 81 Cointegration 73 Kointegration 73 Stochastic process 72 Stochastischer Prozess 72 Inflation 71 Börsenkurs 68 Forecast 68 Share price 68 Capital income 66 Kapitaleinkommen 66 Prognose 66 Aktienmarkt 59 Stock market 59 Wechselkurs 56 Exchange rate 55 Großbritannien 51 United Kingdom 51 ARIMA 49 State space model 48 Zustandsraummodell 48
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Online availability
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Free 439 Undetermined 182
Type of publication
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Article 803 Book / Working Paper 564
Type of publication (narrower categories)
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Article in journal 745 Aufsatz in Zeitschrift 745 Arbeitspapier 328 Working Paper 328 Graue Literatur 323 Non-commercial literature 323 Aufsatz im Buch 51 Book section 51 Hochschulschrift 33 Thesis 29 Lehrbuch 7 Textbook 7 Collection of articles written by one author 5 Sammlung 5 Amtsdruckschrift 4 Bibliografie enthalten 4 Bibliography included 4 Dissertation u.a. Prüfungsschriften 4 Government document 4 Systematic review 4 Übersichtsarbeit 4 Collection of articles of several authors 3 Mehrbändiges Werk 3 Multi-volume publication 3 Sammelwerk 3 Case study 2 Conference paper 2 Fallstudie 2 Forschungsbericht 2 Konferenzbeitrag 2 Rezension 2 Aufsatzsammlung 1 Glossar enthalten 1 Glossary included 1 Nachschlagewerk 1 Reference book 1 Reprint 1
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Language
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English 1,308 German 31 Spanish 12 French 5 Polish 3 Portuguese 3 Finnish 2 Italian 2 Romanian 1 Russian 1
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Author
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Gil-Alaña, Luis A. 23 McAleer, Michael 23 Beran, Jan 18 Feng, Yuanhua 12 Poskitt, Donald Stephen 12 Karanasos, Menelaos 11 Athanasopoulos, George 10 Lütkepohl, Helmut 10 Maravall Herrero, Agustín 10 Palm, Franz C. 10 Saikkonen, Pentti 10 Silvestrini, Andrea 10 Vahid, Farshid 10 Baillie, Richard 9 Koopman, Siem Jan 9 Sibbertsen, Philipp 9 Kapetanios, George 8 Laurent, Sébastien 8 Asai, Manabu 7 Francq, Christian 7 Glabadanidis, Paskalis 7 Hecq, Alain W. J. 7 Lieberman, Offer 7 Meitz, Mika 7 Ocker, Dirk 7 Phillips, Peter C. B. 7 Račev, Svetlozar T. 7 Bhardwaj, Geetesh 6 Chan, Joshua 6 Dufays, Arnaud 6 Fabozzi, Frank J. 6 Gupta, Rangan 6 Hauser, Michael A. 6 Lardic, Sandrine 6 Liesenfeld, Roman 6 Ling, Shiqing 6 Mayoral, Laura 6 Mignon, Valérie 6 Monfort, Alain 6 Peiris, Shelton 6
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Institution
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 4 National Bureau of Economic Research 3 European University Institute / Department of Economics 2 Springer International Publishing 2 Unité Mixte de Recherche Théorie Economique, Modélisation et Applications 2 Birkbeck College / Department of Economics 1 Columbia University / Department of Economics 1 Elinkeinoelämän Tutkimuslaitos 1 Federal Reserve Bank of St. Louis 1 Gottfried Wilhelm Leibniz Universität Hannover 1 Institut für Wirtschaftswissenschaften <Wien> 1 Jingji-Yanjiusuo <Taipeh> 1 London School of Economics and Political Science 1 Massachusetts Institute of Technology / Department of Economics 1 Queen Mary College / Department of Economics 1 Robert Schuman Centre for Advanced Studies 1 Rutgers University / Department of Economics 1 School of Accounting, Finance and Economics <Perth, Western Australia> 1 School of Finance and Business Economics <Perth, Western Australia> 1 University of Canterbury / Dept. of Economics and Finance 1 University of Colorado Boulder / Department of Economics 1 University of Reading / Department of Economics 1 University of Western Ontario / Department of Economics 1 Université de Montréal / Département de sciences économiques 1 epubli GmbH 1
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Published in...
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Economics letters 35 International journal of forecasting 33 Journal of econometrics 31 Journal of forecasting 29 Econometric theory 25 Applied economics 21 Discussion paper / Tinbergen Institute 17 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 16 Working paper / Department of Econometrics and Business Statistics, Monash University 15 Applied financial economics 11 Computational economics 10 Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz 10 Economic modelling 10 International Journal of Energy Economics and Policy : IJEEP 10 CoFE discussion papers 9 Econometric Institute research papers 9 International journal of economics and financial issues : IJEFI 9 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 8 Energy economics 8 Journal of time series econometrics 8 The econometrics journal 8 The empirical economics letters : a monthly international journal of economics 8 Advances in business and management forecasting 7 Discussion papers in economics 7 Journal of banking & finance 7 CREATES research paper 6 Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP) 6 Documentos de trabajo / Banco de España, Servicio de Estudios 6 Econometric reviews 6 Journal of international financial markets, institutions & money 6 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 6 Série des documents de travail / Centre de Recherche en Économie et Statistique 6 Tourism economics : the business and finance of tourism and recreation 6 Working paper 6 Asia-Pacific financial markets 5 CORE discussion papers : DP 5 Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse 5 Journal of applied econometrics 5 Journal of empirical finance 5 Tourism management : research, policies, practice 5
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Source
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ECONIS (ZBW) 1,362 USB Cologne (EcoSocSci) 5
Showing 1 - 50 of 1,367
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Combining counterfactual outcomes and ARIMA models for policy evaluation
Menchetti, Fiammetta; Cipollini, Fabrizio; Mealli, Fabrizia - In: The econometrics journal 26 (2023) 1, pp. 1-24
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Seasonal Autoregressive Integrated Moving Average (SARIMA) Model for the Analysis of Frequency of Monthly Rainfall in Osun State, Nigeria
Adams, Samuel Olorunfemi; Mustapha, Bello; Alumbugu, … - 2023
The Seasonal Autoregressive Integrated Moving Average (SARIMA) model is proposed for Osun State monthly rainfall data and the analysis was based on probability time series modeling approach. The Plot of the original data shows that the time series is stationary and the Augmented Dickey-Fuller...
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Comparative performance of LSTM and ARIMA for the short-term prediction of Bitcoin prices
Latif, Navmeen; Selvam, Joseph Durai; Kapse, Manohar; … - In: Australasian accounting business and finance journal : AABF 17 (2023) 1, pp. 256-276
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The modeling of earnings per share of Polish companies for the post-financial crisis period using random walk and ARIMA models
Kuryłek, Wojciech - In: Journal of banking and financial economics 19 (2023) 1, pp. 26-43
The proper forecasting of listed companies' earnings is crucial for their appropriate pricing. This paper compares forecast errors of different univariate time-series models applied for the earnings per share (EPS) data for Polish companies from the period between the last financial crisis of...
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Market Timing with Moving Averages
Glabadanidis, Paskalis - 2023
I present evidence that a moving average (MA) trading strategy has a greater average return and skewness as well as a lower variance compared to buying and holding the underlying asset using monthly returns of value-weighted US decile portfolios sorted by market size, book-to-market, and...
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Forecasting lending interest rate and deposit interest rate of bangladesh using the autoregressive integrated moving average model
Jilhajj, Khondokar - In: International journal of economics and financial issues … 13 (2023) 3, pp. 169-177
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FIEGARCH, modulus asymmetric FILog-GARCH and trend-stationary dual long memory time series
Feng, Yuanhua; Gries, Thomas; Letmathe, Sebastian - 2023
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The persistence of economic sentiment : a trip down memory lane
Sorić, Petar; Lolić, Ivana; Matošec, Marina - In: Journal of economic interaction and coordination 18 (2023) 2, pp. 371-395
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Random walk forecasts of stationary processes have low bias
Lunsford, Kurt G.; West, Kenneth D. - 2023
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Forecasting banknote circulation during the COVID-19 pandemic using structural time series models
Bartzsch, Nikolaus; Brandi, Marco; Pastor, Raymond de; … - 2023
As part of the Eurosystem’s annual banknote production planning, the national central banks draw up forecasts estimating the volumes of national-issued banknotes in circulation for the three years ahead. As at the end of 2021, more than 80 per cent of euro banknotes in circulation (cumulated...
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Chinese GDP Forecast Using ARIMA Model
Ali, Fawaz - 2023
China's economy is very interesting to analyze because it is recognized as the highest GDP in  the world. Despite the ability of China's economy to reform and grow, China shows fluctuation  in its economy especially after the crisis in 1997 and 2008. When China was able to counter  the...
Persistent link: https://ebtypo.dmz1.zbw/10014355201
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Spatial autoregressive fractionally integrated moving average model
Otto, Philipp; Sibbertsen, Philipp - 2023
In this paper, we introduce the concept of fractional integration for spatial autoregressive models. We show that the range of the dependence can be spatially extended or diminished by introducing a further fractional integration parameter to spatial autoregressive moving average models (SARMA)....
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Self-weighted LSE and residual-based QMLE of ARMA-GARCH models
Ling, Shiqing; Zhu, Ke - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-17
This paper studies the self-weighted least squares estimator (SWLSE) of the ARMA model with GARCH noises. It is shown that the SWLSE is consistent and asymptotically normal when the GARCH noise does not have a finite fourth moment. Using the residuals from the estimated ARMA model, it is shown...
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The role of the monthly ENSO in forecasting the Daily Baltic Dry Index
Bouri, Elie; Gupta, Rangan; Rossini, Lua - 2022
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Forecast of Belex15 and Belexline movement using ARIMA model
Živković, Aleksandra - In: Economic analysis : EA 55 (2022) 1, pp. 90-104
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Optimal forecasts in the presence of discrete structural breaks under long memory
Mboya, Mwasi Paza; Sibbertsen, Philipp - 2022
We develop methods to obtain optimal forecast under long memory in the presence of a discrete structural break based on different weighting schemes for the observations. We observe significant changes in the forecasts when long-range dependence is taken into account. Using Monte Carlo...
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Unveiling the linkages between emerging stock market indices and cryptocurrencies
Ahmed, Wajid Shakeel; Mehmood, Ahsan; Sheikh, Talha; … - In: Asian Academy of Management journal 27 (2022) 2, pp. 189-209
This paper investigated the relationship between cryptocurrencies and emerging stock market indices using fractional integration and co-integration technique. Particularly, fractional integration is applied to examine stochastic properties of individual assets and fractional cointegration to...
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Forecasting the Real Price of Oil : A Cautionary Note
Conlon, Thomas; Cotter, John; Eyiah-Donkor, Emmanuel - 2022
We study the out-of-sample predictability of the real price of crude oil using forecast combinations constructed from several individual predictors. We find that forecasts of themonthly average price of oil are more accurate than the no-change forecast at horizons ranging from 1 to 24 months...
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Predicting crude oil prices during a pandemic : a comparison of Arima and Garch models
Haque, Mohammad Imdadul; Shaik, Abdul Rahman - In: Montenegrin journal of economics 17 (2021) 1, pp. 197-207
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A Bayes algorithm for model compatibility and comparison of ARMA(p,q) models
Tripathi, Praveen Kumar; Sen, Rijji; Upadhyay, S. K. - In: Statistics in transition : an international journal of … 22 (2021) 2, pp. 95-123
The paper presents a Bayes analysis of an autoregressive-moving average model and its components based on exact likelihood and weak priors for the parameters where the priors are defined so that they incorporate stationarity and invertibility restrictions naturally. A Gibbs-Metropolis hybrid...
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Forecasting inflation by using the sub-groups of both CPI and WPI : evidence from auto regression (AR) and ARIMA models
Ahmed, Rizwan Raheem; Štreimikienė, Dalia; Ghauri, … - In: Romanian journal of economic forecasting 24 (2021) 2, pp. 144-161
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Inflation forecasting in the Western Balkans and EU : a comparison of Holt-Winters, ARIMA and NNAR models
Karadzic, Vesna; Pejovic, Bojan - In: Amfiteatru economic : an economic and business research … 23 (2021) 57, pp. 517-532
The purpose of this paper is to compare the accuracy of the three types of models: Autoregressive Integrated Moving Average (ARIMA) models, Holt-Winters models and Neural Network Auto-Regressive (NNAR) models in forcasting the Harmonized Index of Consumer Prices (HICP) for the countries of...
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Modelling and forecasting monthly Brent crude oil prices : a long memory and volatility approach
AlـGounmeein, Remal Shaher; Mohd Tahir Ismail - In: Statistics in transition : an international journal of … 22 (2021) 1, pp. 29-54
The Standard Generalised Autoregressive Conditionally Heteroskedastic (sGARCH) model and the Functional Generalised Autoregressive Conditionally Heteroskedastic (fGARCH) model were applied to study the volatility of the Autoregressive Fractionally Integrated Moving Average (ARFIMA) model, which...
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Modelling volatile time series with v-transforms and copulas
McNeil, Alexander J. - In: Risks : open access journal 9 (2021) 1/14, pp. 1-26
An approach to the modelling of volatile time series using a class of uniformity-preserving transforms for uniform random variables is proposed. V-transforms describe the relationship between quantiles of the stationary distribution of the time series and quantiles of the distribution of a...
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Oil consumption forecasting using ARIMA models : an empirical study for Greece
Dritsaki, Chaido; Niklis, Dimitrios; Stamatiou, Pavlos - In: International Journal of Energy Economics and Policy : IJEEP 11 (2021) 4, pp. 214-224
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An extended exponential SEMIFAR model with application in R
Letmathe, Sebastian; Beran, Jan; Feng, Yuanhua - 2021
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Forecasting with ARMA models : a case study of the exchange rate between the US Dollar and a unit of the British Pound
Isiaka, Abdulaleem; Isiaka, Abdulqudus; Isiaka, Abdulqadir - In: International Journal of Research in Business and … 10 (2021) 1, pp. 205-234
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Fractional integration and cointegration
Haulde, Javier; Nielsen, Morten Ørregaard - 2021
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Nonfractional long-range dependence : long memory, antipersistence, and aggregation
Vera-Valdés, J. Eduardo - In: Econometrics : open access journal 9 (2021) 4, pp. 1-18
This paper used cross-sectional aggregation as the inspiration for a model with long-range dependence that arises in actual data. One of the advantages of our model is that it is less brittle than fractionally integrated processes. In particular, we showed that the antipersistent phenomenon is...
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Forecasting the number of incoming tourists using ARIMA model : case study from Armenia
Tovmasyan, Gayane - In: Marketing i menedžment innovacij : m&mi (2021) 3, pp. 139-148
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Econometric Modelling and Forecasting Foreign Direct Investment Inflows in Nigeria : ARIMA Model Approach
Idowu, Ayodele - 2021
This study examined econometric modelling and forecasting foreign direct investment inflows in Nigeria over the next decade using Box-Jenkins ARIMA model approach. The scope of the study is from 1970 to 2020. The correlogram show that the net foreign direct investment inflow in Nigeria is...
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Power Consumption Analysis and Prediction of a Smart Home Using ARIMA Model
P B, Gopikrishna; Mathew, Jiju A. - 2021
Smart home is an important application of Internet of Things (IoT) that utilizes the Internet to monitor and control appliances in a home automation system by providing security, energy efficiency, low operating costs, convenience etc. The installation of smart products allows the user to...
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Short-Term Estimates of Euro Area Real GDP by Means of Monthly Data
Sédillot, Franck; Rünstler, Gerhard - 2021
The first official data releases of quarterly real GDP for the euro area are published about eight weeks after the end of the reference quarters. Meanwhile, ongoing economic developments must be assessed from various, more readily available, monthly indicators. We examine in the context of...
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A Study and Forecast of MCX Comdex Commodity Index Using ARIMA Model
Sadhwani, Rajesh - 2021
The purpose of this research paper is to understand the MCX Comdex index, the paper also attempts to forecast the index level, the level of index reflects the change in commodity prices. The index is based on commodity futures prices of an exchange. To study the same daily closing prices of...
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Investigation of Parameter Behaviors in Stationarity of Autoregressive and Moving Average Models through Simulations
Imam, Akeyede - 2021
The most important assumption about time series and econometrics data is stationarity. Therefore, this study focuses on behaviors of some parameters in stationarity of autoregressive (AR) and moving average (MA) models. Simulation studies were conducted using R statistical software to...
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Prediction of COVID-19 Cases in Afghanistan Using ARIMA Model
Haidari, Mujtaba - 2021
In Afghanistan, the novel coronavirus disease 2019 (COVID-19) is spreading rapidly. Currently, we are in third wave of pandemic, in Afghanistan. And recently government of Afghanistan recorded the highest confirmed cases since the start of pandemic. In order to prepare ourselves and make right...
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Chinese GDP Forecast Using ARIMA Model
Ali, Fawaz - 2023
China's economy is very interesting to analyze because it is recognized as the highest GDP in the world. Despite the ability of China's economy to reform and grow, China shows fluctuation in its economy especially after the crisis in 1997 and 2008. When China was able to counter the 2008...
Persistent link: https://ebtypo.dmz1.zbw/10014259980
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Macroeconomic forecasting in times of crises
Guerróon-Quintana, Pablo; Zhong, Molin - In: Journal of applied econometrics 38 (2023) 3, pp. 295-320
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Forecasting the stock return of emerging economies : an empirical study based on ARIMA
Yadav, Miklesh Prasad; Khera, Aastha - In: International journal of public sector performance … 11 (2023) 4, pp. 451-466
Persistent link: https://ebtypo.dmz1.zbw/10014313384
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Demand forecasting using modelling and comparison of series and parallel structures of SARIMA and SMLP
Bahrami, Maryam; Khashei, Mehdi; Amindoust, Atefeh - In: International journal of process management and … 13 (2023) 2, pp. 282-301
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Multivariate fractional components analysis
Hartl, Tobias; Jucknewitz, Roland - In: Journal of financial econometrics 21 (2023) 3, pp. 880-914
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A novel hybrid method based on kernel-free support vector regression for stock indices and price forecasting
Tian, Ye; Luo, Jian; Tao, Hong - In: Journal of the Operational Research Society 74 (2023) 3, pp. 690-702
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Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu; Xiao, Weilin; Yu, Jun - In: Journal of econometrics 232 (2023) 2, pp. 389-415
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Volatility puzzle : long memory or antipersistency
Shi, Shuping; Yu, Jun - In: Management science : journal of the Institute for … 69 (2023) 7, pp. 3861-3883
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Approximating long-memory processes with low-order autoregressions : implications for modeling realized volatility
Baillie, Richard; Cho, Dooyeon; Rho, Seunghwa - In: Empirical economics : a quarterly journal of the … 64 (2023) 6, pp. 2911-2937
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Forecasting Electricity Consumption in the Philippines Using ARIMA Models
Parreño, Samuel John - 2023
The electricity demand has been steadily increasing throughout the years. A robust predictive model is required to prepare for future electricity consumption. This paper applied the ARIMA models to forecast electricity consumption in the Philippines. Dataset used was retrieved from the...
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The impact of long memory in mortality differentials on index-based longevity hedges
Li, Johnny Siu-Hang - In: Journal of demographic economics : JODE 89 (2023) 3, pp. 533-552
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Can international market indices estimate tasi's movements? : the ARIMA model
Assous, Hamzeh F.; Al-Rousan, Nadia; Al-Najjar, Dania; … - In: Journal of open innovation : technology, market, and … 6 (2020) 2/27, pp. 1-17
This study investigates the effectiveness of six of the key international indices in estimating Saudi financial market (TADAWUL) index (TASI) movement. To investigate the relationship between TASI and other variables, six equations were built using two independent variables of time and...
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Simultaneous indirect inference, impulse responses and ARMA models
Khalaf, Lynda; Peraza López, Beatriz - In: Econometrics : open access journal 8 (2020) 2/12, pp. 1-26
A two-stage simulation-based framework is proposed to derive Identification Robust confidence sets by applying Indirect Inference, in the context of Autoregressive Moving Average (ARMA) processes for finite samples. Resulting objective functions are treated as test statistics, which are inverted...
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A poisson autoregressive model to understand COVID-19 contagion dynamics
Agosto, Arianna; Giudici, Paolo - 2020
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