Search Results - subject_exact:"ARIMA model"

Modelling Monthly Headline Consumer Price Index (HCPI) through Seasonal Box-Jenkins Methodology

Jackson, Emerson Abraham; Sillah, Abdulai; Tamuke, Edmund - In: International Journal of Sciences 7 (2018) 1, pp. 51-56

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...

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...

Monetary policy and models of currency demand

El Hamiani Khatat, Mariam - 2018

Residual-based diagnostic tests for noninvertible ARMA models

Nyholm, Juho - 2017

Nowcasting Finnish turnover indexes using firm-level data

Fornaro, Paolo; Luomaranta, Henri; Saarinen, Lauri - 2017

An improved selection test between autoregressive and moving average disturbances in regression models

Nguimkeu, Pierre - In: Journal of time series econometrics 8 (2016) 1, pp. 41-54

Forecasting Temperature Records in PEI, Canada

Khedhiri, Sami - In: Letters in spatial and resource sciences : LSRS 9 (2016) 1, pp. 43-55

State correlation and forecasting : a Bayesian approach using unobserved components models

Uzeda, Luis - 2016

Estimating and forecasting generalized fractional long memory stochastic volatility models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - 2016

A multivariate asymmetric long memory conditional volatility model with X, regularity and asymptotics

Asai, Manabu; McAleer, Michael - 2016

The paper derives a Multivariate Asymmetric Long Memory conditional volatility model with Exogenous Variables (X), or the MALMX model, with dynamic conditional correlations, appropriate regularity conditions, and associated asymptotic theory. This enables checking of internal consistency and...

Reversible Jump Markov Chain Monte Carlo : some applications to macroeconometrics

Neuhoff, Daniel Ferdinand - 2016

Measuring the distance between sets of ARMA models

Triacca, Umberto - In: Econometrics : open access journal 4 (2016) 3, pp. 1-11

A distance between pairs of sets of autoregressive moving average (ARMA) processes is proposed. Its main properties are discussed. The paper also shows how the proposed distance finds application in time series analysis. In particular it can be used to evaluate the distance between portfolios of...

A multivariate asymmetric long memory conditional volatility model with x, regularity and asymptotics

Asai, Manabu; McAleer, Michael - 2016

Estimating and forecasting generalized fractional long memory stochastic volatility models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - 2016

In recent years fractionally differenced processes have received a great deal of attention due to its flexibility in financial applications with long memory. This paper considers a class of models generated by Gegenbauer polynomials, incorporating the long memory in stochastic volatility (SV)...

The impact of a central bank's verbal interventions on stock exchange indices in a resource based economy: the evidence from Russia

Kuznetsova, Olga S.; Ulyanova, Sofiya R. - 2016

The comparative comparison of exchange rate models

Mahmodpour, Kamran; Badooei, Yaser Sistani; Mohseni, Hadiseh - In: International journal of economics and financial issues … 6 (2016) 2, pp. 380-385

Forecast of economic growth by time series and scenario planning method : a case study of Shenzhen

Wang, Tao - In: Modern economy 7 (2016) 2, pp. 212-222

Modelle der Zeitreihenanalyse

Deistler, Manfred; Scherrer, Wolfgang - 2018 - 1. Auflage 2018

An econometric investigation of forecasting premium fuel

Asuamah, Samuel Yeboah; Ohene-Manu, Joseph - In: International Journal of Energy Economics and Policy : IJEEP 5 (2015) 3, pp. 716-724

Fraktionale Integration und Kointegration in Theorie und Praxis

Dechert, Andreas - 2015

Aspects and applications of the Wilkie investment model

Ishak, Norizarina - 2015

Autoregressive moving average infinite hidden Markov-switching models

Bauwens, Luc; Carpantier, Jean-François; Dufays, Arnaud - 2015

Non-normality in financial markets and the measurement of risk

Lau, Christian - 2015

Diese Dissertation ist in drei Kapitel sowie eine Einleitung unterteilt. Die Einleitung führt in das Themengebiet ein, fasst die Kapitel zusammen und zeigt deren Zusammenhänge auf. Jedes Kapitel beschäftigt sich mit der Analyse von Finanzzeitreihen. Dabei wird insbesondere den „stylized...

Research on the forecast and development of China's public fiscal revenue based on ARIMA model

Liu, Qingjie; Wang, Huachun - In: Theoretical economics letters 5 (2015) 4, pp. 482-493

On the predictability of inflation rate in Ghana : a Box-Jenkins approach

Magnus, Frimpong Joseph; Fosu, Oteng-Abayie Eric - In: International journal of economic perspectives : IJEP 5 (2011) 1, pp. 55-66

Effects of interest rate on stock market returns in Kenya

Otieno, Donald A.; Ngugi, Rose W.; Wawire, Nelson H. Were - In: International journal of economics and finance 9 (2017) 8, pp. 40-50

Empirical study on Shanghai Composite Index forecast based on ARIMA model

Wu, Haijian; Li, Qianqian - In: Journal of world economic research 6 (2017) 6, pp. 71-74

The Baidu index : uses in predicting tourism flows - a case study of the Forbidden City

Huang, Xiankai; Zhang, Lifeng; Ding, Yusi - In: Tourism management : research, policies, practice 58 (2017), pp. 301-306

Market based credit rating and its applications

Tsay, Ruey S.; Zhu, H. - In: Applied quantitative finance, (pp. 113-128). 2017

Forecasting cash holding with cash deposit using time series approaches

Kobpongkit Navapan; Liu, Jianxu; Songsak Sriboonchitta - In: Robustness in econometrics, (pp. 501-510). 2017

Goodness-of-fit test for nonlinear time series models

Han, Ngai Sze; Ling, Shiqing - In: Annals of financial economics 12 (2017) 2, pp. 1-21

Out-of-sample forecasting of the Canadian unemployment rates using univariate models

Jaffur, Zameelah Rifkha Khan; Sookia, Noor Ul Hacq; … - In: Applied economics letters 24 (2017) 13/15, pp. 1097-1101

Short-term forecasting of Japanese tourist inflow to South Korea using Google trends data

Park, Sangkon; Lee, Jungmin; Song, Wonho - In: Journal of travel and tourism marketing 34 (2017) 1/3, pp. 357-368

Forecasting and predictive analytics : with ForecastX™

Keating, Barry P.; Wilson, J. Holton - 2019 - Seventh edition, international student edition

Forecasting Stock Price in Tehran's Stock Market Using Evolutionary Strategies

Sabri, Farshid; Mogadam, Abolfazl - In: International Journal of Academic Research in Business … 4 (2014) 10, pp. 181-186

This study aimed to forecast stock prices and daily stock returns of food products manufacturers, accepted in Tehran Stock Exchange, Using evolutionary strategies. The study was divided into two models. First, the time series of 14 variables related to price prediction, for a period of 5 years...