Temporal aggregation in general introduces a moving average (MA) component in the aggregated model. A similar feature emerges when not all but only a few variables are aggregated, which generates a mixed frequency model. The MA component is generally neglected, likely to preserve the possibility...

Temporal aggregation in general introduces a moving average (MA) component in the aggregated model. A similar feature emerges when not all but only a few variables are aggregated, which generates a mixed frequency model. The MA component is generally neglected, likely to preserve the possibility...

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...

Background: Improving financial time series forecasting is one of the most challenging and vital issues facing numerous financial analysts and decision makers. Given its direct impact on related decisions, various attempts have been made to achieve more accurate and reliable forecasting results,...

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)...

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...

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...

The research used a long memory or Autoregressive Fractionally Integrated Moving Average model to study and forecast crude oil prices using weekly West Texas Intermediate and Brent series for the period 15/5/1987 to 20/12/2013. Fractional differencing Methods such as Local Whittle Estimator and...

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...

We consider the decomposition of shocks to a dynamic process into a persistent and a transitory component. Without additional assumptions (such as zero correlation) the decomposition of shocks into a persistent and transitory component is indeterminate. The assumption that is conventional in the...