Search Results - subject_exact:"ARFIMA-Modell"

Persistence in the mint stock markets : evidence from a fractional integration model

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Ojo, … - 2026

This paper investigates persistence in the MINT (Mexico, Indonesia, Nigeria, Turkey) stock markets applying fractional integration methods to daily data from 1 January 2022 to 31 October 2025. Different model specifications are estimated for prices, log prices and log returns under the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015591911

Advanced time series forecasting of electricity generation in Turkey : a comparative study using LSTM models, ARIMA, and PSO : optimized holt trend

Barak, Mensure Zuhal; Karakas, Esra - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015620374

Long memory in Kenyan commodity prices

Caporale, Guglielmo Maria; Njoroge, Mwangi Victor; … - 2026

This study investigates the long-memory properties of the prices of three Kenyan commodities (tea, coffee and horticultural products) by applying fractional integration methods to monthly data spanning the period from August 1998 to December 2024. The empirical results provide evidence of...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015626665

Inflation persistence in the SCO countries : a fractional integration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Ojo, … - 2026

This paper uses fractional integration methods to analyse the long-memory and persistence properties of inflation in the Shanghai Cooperation Organization (SCO) countries over the period from 1 January 1997 to 8 January 2025. This approach is more general than standard models based on the I(0)...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015627506

Forecasting of trend stationary time series in SAP using a data-driven semiparametric ARMA model

Chen, Li; Feng, Yuanhua - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015661121

Time series forecasting in SAP using a data-driven seasonal semiparametric ARMA model

Chen, Li; Feng, Yuanhua - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015662160

A Bayesian Dirichlet autoregressive conditional heteroskedasticity model for forecasting currency shares

Katz, Harrison; Weiss, Robert E. - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668703

Long memory and asymmetric uncertainty effects on stock returns and volatility : a fractional integration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Pantoja … - 2026

This paper investigates how Economic Policy Uncertainty (EPU) affects the returns and volatility (proxied by squared returns) of 448 S&P 500 stocks over the period January 2010-December 2020, and whether volatility persistence is related to EPU sensitivity. Persistence is measured with three...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015674950

Optimized moving average smoothing for volatility forecasting in futures markets

Zlatkus, Pijus; Raudys, Aistis; Lazaravičius, Linas; … - 2026

Common moving averages (MAs) used for volatility forecasting rely on fixed heuristic weights. We propose a Custom Moving Average (CMA) whose weights are learned to forecast the next-day True Range (TR). Using daily OHLC data for 55 futures contracts with a chronological 60/20/20...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016059296

Revisions in concurrent seasonal adjustments of daily and weekly economic time series

Webel, Karsten - 2025

The COVID-19 outbreak in 2020 has fostered in many countries the development of new weekly economic indices for the timely tracking of pandemic-related turmoils and other forms of rapid economic changes. Such indices often utilise information from daily and weekly economic time series that...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015373330

Macroeconomic real-time forecasts of univariate models with flexible error structures

Trinh, Kelly; Zhang, Bo; Hou, Chenghan - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015373952

Asymmetric models for realized covariances

Bauwens, Luc; Dzuverovic, Emilija; Hafner, Christian M. - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668322

Comparative study of forecasting methods to predict the energy demand for the market of Colombia

Vargas-Forero, Victor Manuel; Manotas-Duque, Diego Fernando - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015333827

Nowcasting Mexican GDP using ARIMA error modelling : electronic payments as complementary indicators of economic activity

Raju, Sudhakar; Balakrishnan, Mahadevan - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015670138

A reappraisal of real-time forecasts of the real price of oil

Benyo, Eric; Ellwanger, Reinhard; Snudden, Stephen - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015417784

Density-valued ARMA models by spline mixtures

Matsuda, Yasumasa; Iwafuchi, Rei - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015418053

A novel predictive analytics model for forecasting short-term trends in equity assets prices

Achury-Calderón, Fabián; Arredondo, John A.; Sánchez … - 2025

This paper introduces a new predictive analytics model for forecasting stock price trends in financial assets traded on major stock exchanges worldwide and the Colombian Stock Exchange. The model is built on a probability space definition that consists of a measurable space derived from...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015420111

An application of ARIMA model to forecast the dynamics of COVID-19 epidemic in India

Katoch, Rupinder; Sidhu, Arpit - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015423948

Multiple seasonal autoregressive integrated moving average models

Lisi, Francesco; Grigoletto, Matteo - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015464756

Bitcoin return dynamics volatility and time series forecasting

Anand, Punit; Sharan, Anand Mohan - 2025

Bitcoin and other cryptocurrency returns show higher volatility than equity, bond, and other asset classes. Increasingly, researchers rely on machine learning techniques to forecast returns, where different machine learning algorithms reduce the forecasting errors in a high-volatility regime. We...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015433952

Short term forecasting of base metals prices using a LightGBM and a LightGBM - ARIMA ensemble

Oikonomou, Konstantinos; Damigos, Dimitris - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015446151

A fractional integration model with autoregressive processes

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2025

This note puts forward a new modelling approach that includes both fractional integration and autoregressive processes in a unified framework. The proposed model is very general and includes other more standard approaches such as the AR(F)IMA models. Some Monte Carlo evidence shows that the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015426971

Using machine learning algorithms and the ARIMA model to predict and recognize the determinants of external debts to Egypt

Mater, Mohamed Ahmed Mohamed; Mostafa, Mohammed Galal … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015609453

On using ARIMA model confidence intervals applied to population projections based on the components of change : a case study for the world population

Swanson, David A.; Tayman, Jeff - 2025

This paper shows how measures of uncertainty from a standard time series model (ARIMA) can be applied to an existing population projection based on components of change using the world as a case study. The measures of forecast uncertainty are relatively easy to calculate and meet several...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015596207

Modelling and forecasting Sharīʿah-compliant stocks

Goh, Thomas Sumarsan; Henry; Albert - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015606369

Daily emissions of CO₂ in the world : a fractional integration approach

Gil-Alaña, Luis A.; Poza, Carlos - 2025

In this article, daily CO2 emissions for the years 2019-2022 are examined using fractional integration for Brazil, China, EU-27 (and the UK), India, and the USA. According to the findings, all series exhibit long memory mean-reversion tendencies, with orders of integration ranging between 0.22...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015475566

The future of European regional inequalities : Box-Cox transformed ARMA process trend smoothing (BATS) forecasting

Duran, Hasan Engin; Elburz, Zeynep; Çifçi, Burcu Değerli - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015396494

"Revealing the future" : an ARIMA model analysis for predicting remittance inflows

Khan, Imran; Gunwant, Darshita Fulara - 2025

Purpose - The purpose of this research is to develop a predictive model that can estimate the volume of remittances channeled toward Yemen's economic reconstruction efforts. Design/methodology/approach - This study utilized a time-series dataset encompassing remittance inflows into Yemen's...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015397368

On memory-augmented gated recurrent unit network

Yang, Maolin; Li, Muyi; Li, Guodong - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015440800

Exponential time trends in a fractional integration model

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2024

This paper introduces a new modelling approach that incorporates nonlinear, exponential deterministic terms into a fractional integration framework. The proposed model is based on a specific test on fractional integration that is more general than the standard methods, which allow for only...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014636409

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Exponential time trends in a fractional integration model

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2023

Book / Working Paper

A comparative analysis of artificial neural networks and time series models in exchange rate forecasting

Ürkmez, Emre - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015372011

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

Blasques, F.; Brummelen, Janneke van; Gorgi, P.; … - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015071895

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

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

Book / Working Paper

An adaptive long memory conditional correlation model

Dark, Jonathan - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014491877

Potential demand forecasting for steel products in spot markets using a hybrid SARIMA-LSSVM approach

Huang, Junting; Meng, Ying; Xiao, Min; Liu, Chang; Dong, Yun - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015464702

Improved tourism demand forecasting with CIR# model : a case study of disrupted data patterns in Italy

Bufalo, Michele; Orlando, Giuseppe - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014512279

Weak identification of long memory with implications for volatility modeling

Li, Jia; Phillips, Peter C. B.; Shi, Shuping; Yu, Jun - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015458842

Modelling profitability of private equity : a fractional integration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014451482

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Modelling profitability of private equity : a fractional integration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2022

Book / Working Paper

Forecasting silver prices : a univariate ARIMA approach and a proposed model for future direction

Bagrecha, Chaya; Singh, Kuldeep; Sharma, Geeti; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015446208

Singular spectrum analysis (SSA) based hybrid models for emergency ambulance demand (EAD) time series forecasting

Wang, Jing; Peng, Xuhong; Wu, Jindong; Ding, Youde; … - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014526094

Expected idiosyncratic volatility

Bekaert, Geert; Bergbrant, Mikael; Kassa, Haimanot - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015564642

Forecasting of electricity consumption by seasonal autoregressive integrated moving average model in Assam, India

Mahanta, Nibedita; Talukdar, Ruma - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015116846

A MS SHARV-MIDAS model : a new regime-switching model for volatility forecasting

Chen, Zhenlong; Liu, Junjie; Hao, Xiaozhen - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015556002

Forecasting stock indices : stochastic and artificial neural network models

Pande, Naman Krishna; Kumar, Arun; Gupta, Arvind Kumar - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015590204

A hybrid of Box-Jenkins ARIMA model and Neural Networks for forecasting South African crude oil prices

Tsoku, Johannes Tshepiso; Metsileng, Daniel; Botlhoko, … - 2024

The current study aims to model the South African crude oil prices using the hybrid of Box-Jenkins autoregressive integrated moving average (ARIMA) and Neural Networks (NNs). This study introduces a hybrid approach to forecasting methods aimed at resolving the issues of lack of precision in...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015337777

Estimating and forecasting bitcoin daily prices using ARIMA-GARCH models

Phung Duy Quang; Oanh Nguyen Thi; Phuong Hao Le Thi; … - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015188090

Trading strategy model based on dynamic programming

Yang, Wenjie; Zhang, Qiuye; Zhang, Xuande - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015591472

The application of the ARIMA model for time series air freight forecasting

Hajjar, Boutaina; Drissi-Kaïtouni, Omar - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015625645

Predicting expected idiosyncratic volatility : empirical evidence from ARFIMA, HAR, and EGARCH models

Xiao, Chuxuan; Huang, Winifred; Newton, David P. - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015178466

An application of ARIMA model : evidence from selected stocks of export-based countries

Gupta, Himani; Yadav, Miklesh Prasad - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015632685

Understanding unworked time in Spain

Rey del Castillo, Pilar - 2024

This paper explores the evolution of non-working time in Spain over recent years by analysing the results of two surveys conducted by the National Statistics Institute: the Quarterly Survey on Labor Costs and the Labor Force Survey. Using time series models and intervention analysis, potential...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015179218