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  • Search: subject_exact:"ARIMA model"
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Year of publication
Subject
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ARMA model 1,239 ARMA-Modell 1,239 Theorie 636 Theory 636 Zeitreihenanalyse 602 Time series analysis 601 Forecasting model 419 Prognoseverfahren 419 USA 388 United States 387 Estimation 188 Schätzung 188 ARCH model 187 ARCH-Modell 186 Estimation theory 136 Schätztheorie 136 Volatility 135 Volatilität 134 VAR model 85 VAR-Modell 85 Stochastic process 73 Stochastischer Prozess 73 Börsenkurs 68 Inflation 68 Share price 68 Cointegration 58 Kointegration 58 Exchange rate 57 Wechselkurs 57 Markov chain 50 Markov-Kette 50 Capital income 49 Kapitaleinkommen 49 ARIMA model 48 Großbritannien 47 Monte Carlo simulation 47 Monte-Carlo-Simulation 47 United Kingdom 47 Welt 47 World 47
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Online availability
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Free 374 Undetermined 194
Type of publication
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Article 848 Book / Working Paper 445 Journal 2
Type of publication (narrower categories)
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Article in journal 763 Aufsatz in Zeitschrift 763 Arbeitspapier 321 Working Paper 321 Graue Literatur 319 Non-commercial literature 319 Aufsatz im Buch 51 Book section 51 Hochschulschrift 30 Thesis 26 Lehrbuch 7 Collection of articles written by one author 5 Sammlung 5 Amtsdruckschrift 4 Government document 4 Bibliografie enthalten 3 Bibliography included 3 Collection of articles of several authors 3 Commentary 3 Kommentar 3 Mehrbändiges Werk 3 Multi-volume publication 3 Sammelwerk 3 Systematic review 3 Übersichtsarbeit 3 Article 2 Case study 2 Fallstudie 2 Forschungsbericht 2 Monografische Reihe 2 Rezension 2 Aufsatzsammlung 1 Bibliografie 1 Conference paper 1 Glossar enthalten 1 Glossary included 1 Interview 1 Konferenzbeitrag 1 Nachschlagewerk 1 Reference book 1
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Language
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English 1,212 German 28 Undetermined 28 Spanish 11 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. 26 Beran, Jan 20 McAleer, Michael 15 Feng, Yuanhua 12 Athanasopoulos, George 11 Maravall Herrero, Agustín 11 Palm, Franz C. 10 Poskitt, Donald Stephen 10 Silvestrini, Andrea 10 Vahid, Farshid 10 Karanasos, Menelaos 9 Račev, Svetlozar T. 9 Fabozzi, Frank J. 8 Hecq, Alain W. J. 8 Koopman, Siem Jan 8 Lütkepohl, Helmut 8 Sbrana, Giacomo 8 Gupta, Rangan 7 Laurent, Sébastien 7 Monfort, Alain 7 Ocker, Dirk 7 Rodriguez, Gabriel 7 Saikkonen, Pentti 7 Chan, Joshua 6 Francq, Christian 6 Kapetanios, George 6 Lardic, Sandrine 6 Meitz, Mika 6 Mignon, Valérie 6 Puah, Chin-Hong 6 Trenkler, Carsten 6 Asai, Manabu 5 Baillie, Richard 5 Benth, Fred Espen 5 Bhardwaj, Geetesh 5 Boylan, John E. 5 Browning, Martin James 5 Caballero, Ricardo J. 5 Caporale, Guglielmo Maria 5 Chan, Joshua C. C. 5
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Institution
All
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 7 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 5 Department of Econometrics and Business Statistics, Monash Business School 2 European University Institute / Department of Economics 2 Springer International Publishing 2 Unité Mixte de Recherche Théorie Economique, Modélisation et Applications 2 Australien / Department of the Arts, Sport, the Environment, Tourism and Territories 1 Banco de España 1 Birkbeck College / Department of Economics 1 Columbia University / Department of Economics 1 Department of Economics, University of Victoria 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 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 Technology Management, Economics and Policy Program (TEMEP), Seoul National University 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 Université de Montréal / Département de sciences économiques 1 epubli GmbH 1
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Published in...
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International journal of forecasting 38 Economics letters 37 Journal of econometrics 32 Journal of forecasting 30 Applied economics 24 Econometric theory 23 Discussion paper / Tinbergen Institute 17 Energy economics 15 International Journal of Energy Economics and Policy : IJEEP 14 Working paper / Department of Econometrics and Business Statistics, Monash University 14 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 13 Applied financial economics 11 CoFE discussion papers 11 Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz 10 The empirical economics letters : a monthly international journal of economics 10 Economic modelling 9 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 8 International journal of economics and financial issues : IJEFI 8 Journal of banking & finance 8 Journal of time series econometrics 8 Advances in business and management forecasting 7 Discussion papers in economics 7 Journal of empirical finance 7 MPRA Paper 7 The econometrics journal 7 CREATES research paper 6 Documentos de trabajo / Banco de España, Servicio de Estudios 6 Econometric Institute research papers 6 Econometric reviews 6 Econometrics : open access journal 6 International journal of economics and finance 6 Journal of financial econometrics : official journal of the Society for Financial Econometrics 6 Journal of international financial markets, institutions & money 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 Asia-Pacific financial markets 5 CORE discussion papers : DP 5 Computational economics 5 Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse 5 Discussion papers of interdisciplinary research project 373 5
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Source
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ECONIS (ZBW) 1,257 RePEc 34 BASE 2 EconStor 2
Showing 1 - 50 of 1,295
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Supporting of manufacturing system based on demand forecasting tool
Kmiecik, Mariusz; Zangana, Hawre - In: LogForum : elektroniczne czasopismo naukowe z dziedziny … 18 (2022) 1, pp. 33-48
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Schnellschätzung des Außenhandels in den Volkswirtschaftlichen Gesamtrechnungen: ein ökonometrischer Ansatz
Rosengart, Nathalie - In: WISTA – Wirtschaft und Statistik 73 (2021) 2, pp. 19-30
Dieser Aufsatz beschreibt eine ergänzende, ökonometrische Rechnung für den Außenhandel in den Volkswirtschaftlichen Gesamtrechnungen, die Frühindikatoren verwendet und in die Schnellschätzung des Bruttoinlandsprodukts nach t+30 Tagen einfließt. Die Qualitätsbeurteilung der...
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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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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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The ENSO cycle and forecastability of global inflation and output growth : evidence from standard and mixed-frequency multivariate singular spectrum analyses
Hassani, Hossein; Yeganegi, Mohammad Reza; Gupta, Rangan - 2021
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Forecasting the unemployment rate : application of selected prediction methods
Gostkowski, Michał; Rokicki, Tomasz - In: European research studies 24 (2021) 3, pp. 985-1000
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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...
Persistent link: https://ebtypo.dmz1.zbw/10012422995
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Schnellschätzung des Außenhandels in den Volkswirtschaftlichen Gesamtrechnungen : ein ökonometrischer Ansatz
Rosengart, Nathalie - In: Wirtschaft und Statistik : WISTA (2021) 2, pp. 19-30
Dieser Aufsatz beschreibt eine ergänzende, ökonometrische Rechnung für den Außenhandel in den Volkswirtschaftlichen Gesamtrechnungen, die Frühindikatoren verwendet und in die Schnellschätzung des Bruttoinlandsprodukts nach t+30 Tagen einfließt. Die Qualitätsbeurteilung der...
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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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The determinants and forecasting of electricity consumption in Pakistan
Wahid, Fazle; Ullah, Hamid; Ali, Sher; Jan, Sajjad Ahmad; … - In: International Journal of Energy Economics and Policy : IJEEP 11 (2021) 1, pp. 241-248
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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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Investigating seasonality, policy intervention and forecasting in the Indian gold futures market : a comparison based on modeling non-constant variance using two different methods
Nargunam, Rupel; Wei, William W. S.; Anuradha, N. - In: Financial innovation : FIN 7 (2021), pp. 1-15
This study focuses on the Indian gold futures market where primary participants hold sentimental value for the underlying asset and are globally ranked number two in terms of the largest private holdings in the physical form. The trade of gold futures relates to seasons, festivity, and...
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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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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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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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Fractional integration and cointegration
Haulde, Javier; Nielsen, Morten Ørregaard - 2021
Persistent link: https://ebtypo.dmz1.zbw/10012816374
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Applying hybrid ARIMA-SGARCH in algorithmic investment strategies on S&P 500 Index
Nguyen Vo; Ślepaczuk, Robert - 2021
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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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Household electricity load forecasting toward demand response program using data mining techniques in a traditional power grid
Abu Baker, Maher - In: International Journal of Energy Economics and Policy : IJEEP 11 (2021) 4, pp. 132-148
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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
Persistent link: https://ebtypo.dmz1.zbw/10012623488
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An extended exponential SEMIFAR model with application in R
Letmathe, Sebastian; Beran, Jan; Feng, Yuanhua - 2021
Persistent link: https://ebtypo.dmz1.zbw/10012628648
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Modelling monthly Headline Consumer Price Index (HCPI) through seasonal Box-Jenkins methodology
Jackson, E. A.; Sillah, Abdulai; Tamuke, Edmund - 2018
In this empirical work, cognisance has been given to providing a review of literature on the seasonal Box-Jenkins modelling, particularly with reference to a univariate model. Seasonal pattern of Headline Consumer Price Index (HCPI) has been produced for Sierra Leone and with EVIEWS making use...
Persistent link: https://ebtypo.dmz1.zbw/10011811925
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Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting
Boubaker, Heni - 2020
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...
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Uses and Abuses of ARIMA in PPNR Modeling and Risk Management : Why Not to Fear ARIMA
Bianco, Dimitri - 2020
Many forms of the ARIMA (auto-regressive integrated moving average) modeling method are used across risk management and specifically within PPNR (Pre-Provision Net Revenue) for CCAR (Comprehensive Capital Analysis and Review) and DFAST (Dodd-Frank Act Stress Testing). The ARIMA method allows for...
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Forecasting the GDP per Capita for Egypt and Saudi Arabia Using ARIMA Models
Eissa, Noura - 2020
Annual time series data is used to forecast GDP per capita using the Box-Jenkins Auto-regressive-Integrated Moving-Average (ARIMA) model for the Egyptian and Saudi Arabian economies. The fitted ARIMA model is tested for per capita GDP forecasting of Egypt and of Saudi Arabia for the next ten...
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Modelling GDP for Sudan using ARIMA
Hassan, Hisham Mohamed - 2020
This paper aims to obtain an appropriate ARIMA model for the Sudan GDP using the Box- Jenkins methodology during the period 1960-2018 the various ARIMA models with different order of autoregressive and moving-average terms were compared. The appropriate model for Sudan is an ARIMA (1,1,1), the...
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An indirect proof for the asymptotic properties of VARMA model estimators
Mélard, Guy - 2020
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Volatility modelling for tourism sector stocks in Borsa Istanbul
Celik, Gulsah Gencer - In: International journal of economics and financial issues … 10 (2020) 3, pp. 158-165
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ARIMA-based forecasting of the dynamics of confirmed Covid-19 cases for selected European countries
Kufel, Tadeusz - In: Equilibrium : quarterly journal of economics and … 15 (2020) 2, pp. 181-204
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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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How to compare market efficiency? : the Sharpe ratio based on the ARMA-GARCH forecast
Liu, Lin; Chen, Qiguang - In: Financial innovation : FIN 6 (2020) 38, pp. 1-21
This paper derives a new method for comparing the weak-form efficiency of markets. The author derives the formula of the Sharpe ratio from the ARMA-GARCH model and finds that the Sharpe ratio just depends on the coefficients of the AR and MA terms and is not affected by the GARCH process. For...
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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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Hybrid ARFIMA wavelet artificial neural network model for DJIA index forecasting
Boubaker, Heni; Canarella, Giorgio; Gupta, Rangan; … - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012391038
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A poisson autoregressive model to understand COVID-19 contagion dynamics
Agosto, Arianna; Giudici, Paolo - 2020
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Predicting prices of S&P500 index using classical methods and recurrent neural networks
Kijewskia, Mateusz; Ślepaczuk, Robert - 2020
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Dynamic modeling data export oil and gas and non-oil and gas by ARMA(2,1)-GARCH(1,1) model : study of Indonesian’s export over the years 2008-2019
Nairobi, Nairobi; Russel, Edwin; Ambya, Ambya; … - In: International Journal of Energy Economics and Policy : IJEEP 10 (2020) 6, pp. 175-184
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Forecasting European Union CO2 emissions using autoregressive integrated moving average-autoregressive conditional heteroscedasticity models
Dritsaki, Melina; Dritsaki, Chaido - In: International Journal of Energy Economics and Policy : IJEEP 10 (2020) 4, pp. 411-423
Persistent link: https://ebtypo.dmz1.zbw/10012504221
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Examining the effects of oil price long memory and exchange rate long memory on stock market behavior in Nigeria
Lawal, Adedoyin Isola; Dahunsi, Samuel Olatunde; … - In: International Journal of Energy Economics and Policy : IJEEP 10 (2020) 4, pp. 430-436
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Distributed ARIMA models for ultra-long time series
Wang, Xiaoqian; Kang, Yanfei; Hyndman, Rob J.; Li, Feng - 2020
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Modeling and forecasting the electricity price in Iran using wavelet-based GARCH model
Pourghorban, Mojtaba; Mamipour, Siab - In: Iranian journal of economic studies : IJES 9 (2020) 1, pp. 233-260
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Forecasting Potential Impact of COVID-19 Outbreak on India's GDP Using ARIMA Model
Jamir, Imtinungsang - 2020
The outbreak of COVID-19 has brought the world economy at standstill which brings huge challenges to major affected countries. The impact of this disease on economy is highly uncertain putting policymakers in difficult situation to formulate appropriate policy in a short time. India being the...
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Comparing the Prediction Accuracy of LSTM and ARIMA Models for Time-Series with Permanent Fluctuation
Abdoli, Ghahreman - 2020
In developing countries with an unstable economic system, permanent fluctuation in historical data is always a concern. Recognizing dependency and independency of variables are vague and proceeding a reliable forecast model is more complex than other countries. Although linearization of...
Persistent link: https://ebtypo.dmz1.zbw/10012832816
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Comparing the Prediction Accuracy of Lstm and Arima Models for Time-Series with Permanent Fluctuation
Abdoli, Ghahreman - 2020
In developing countries with an unstable economic system, permanent fluctuation in historical data is always a concern. Recognizing dependency and independency of variables are vague and proceeding a reliable forecast model is more complex than other countries. Although linearization of...
Persistent link: https://ebtypo.dmz1.zbw/10012837611
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Stock returns and long-range dependence
Odonkor, Alexander Ayertey; Ababio, Emmanuel Nkrumah; … - In: Global business review 23 (2022) 1, pp. 37-47
Persistent link: https://ebtypo.dmz1.zbw/10012822065
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Inflation volatility in Indonesia using ARIMA model : before and during COVID-19
Wahyudi, Setyo Tri; Nabella, Rihana Sofie; Sari, Kartika - 2022
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Estimating and Forecasting Volatility Using ARIMA Model : A Study on NSE, India
Wadhawan, Dikshita - 2019
Volatility has been used as an indirect means for predicting risk accompanied with an asset. Volatility explains the variations in returns. Forecasting volatility has been a stimulating problem in the financial systems. This study examined the different volatility estimators and determined the...
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Predicting Net Foreign Direct Investment in Nigeria Using Box-Jenkins ARIMA Approach
Nyoni, Thabani - 2019
Using annual time series data on net FDI inflows for Nigeria from 1960 to 2017, the study analyzes net FDI inflows using the Box – Jenkins ARIMA methodology. The Augmented Dickey-Fuller tests show that Nigeria FDI net FDI inflows data is I (1). Based on the AIC, the study presents the ARIMA...
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Modelling Electricity Demand in Sudan Using Multiplicative Seasonal ARIMA and HOLT-WINTERS
Hassan, Hisham Mohamed - 2019
Reliable forecast of energy demand represents a starting point in policy development and improvement of production and distribution facilities. This paper predicts the electricity demand in Sudan during the period from January 2006 to December 2016. For the purposes of these forecasts,...
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Modeling and forecasting by the vector autoregressive moving average model for export of coal and oil data (case study from Indonesia over the years 2002-2017)
Warsono; Russel, Edwin; Wamiliana; Widiarti; Mustofa Usman - In: International Journal of Energy Economics and Policy : IJEEP 9 (2019) 4, pp. 240-247
Persistent link: https://ebtypo.dmz1.zbw/10012386807
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Short-run forecasting of core inflation in Ukraine : a combined ARMA approach
Krukovets, Dmytro; Verchenko, Olesia - In: Visnyk Nacionalʹnoho Banku Ukrai͏̈ny (2019) 248, pp. 11-20
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