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Year of publication
Subject
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ARMA model 1,301 ARMA-Modell 1,282 Zeitreihenanalyse 592 Time series analysis 588 Theorie 500 Theory 500 Forecasting model 405 Prognoseverfahren 405 Schätztheorie 155 Estimation theory 153 Estimation 152 Schätzung 152 ARCH model 147 ARCH-Modell 147 USA 135 United States 135 Volatility 131 Volatilität 130 VAR model 76 VAR-Modell 76 Stochastischer Prozess 71 Inflation 70 Stochastic process 70 Forecast 67 Cointegration 66 Kointegration 66 Prognose 63 Capital income 62 Kapitaleinkommen 62 Börsenkurs 61 Share price 61 Aktienmarkt 55 Stock market 55 Exchange rate 53 Wechselkurs 53 Großbritannien 49 United Kingdom 49 ARIMA 46 State space model 45 Zustandsraummodell 45
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Online availability
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Free 398 Undetermined 175
Type of publication
All
Article 800 Book / Working Paper 517
Type of publication (narrower categories)
All
Article in journal 730 Aufsatz in Zeitschrift 730 Working Paper 325 Arbeitspapier 322 Graue Literatur 317 Non-commercial literature 317 Aufsatz im Buch 51 Book section 51 Hochschulschrift 34 Thesis 30 Lehrbuch 8 Textbook 8 Bibliografie enthalten 5 Bibliography included 5 Collection of articles written by one author 5 Sammlung 5 Amtsdruckschrift 4 Dissertation u.a. Prüfungsschriften 4 Government document 4 Systematic review 4 Übersichtsarbeit 4 Article 3 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 1,232 German 32 Undetermined 24 Spanish 12 French 5 Polish 3 Portuguese 3 Finnish 2 Italian 2 Lithuanian 1 Romanian 1 Russian 1
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Author
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Gil-Alaña, Luis A. 23 McAleer, Michael 21 Beran, Jan 18 Karanasos, Menelaos 13 Poskitt, Donald Stephen 12 Feng, Yuanhua 11 Lütkepohl, Helmut 10 Maravall Herrero, Agustín 10 Athanasopoulos, George 9 Koopman, Siem Jan 9 Palm, Franz C. 9 Silvestrini, Andrea 9 Vahid, Farshid 9 Kapetanios, George 8 Saikkonen, Pentti 8 Asai, Manabu 7 Baillie, Richard 7 Biørn, Erik 7 Francq, Christian 7 Hecq, Alain W. J. 7 Laurent, Sébastien 7 Ocker, Dirk 7 Račev, Svetlozar T. 7 Sibbertsen, Philipp 7 Chan, Joshua 6 Dufays, Arnaud 6 Ejrnæs, Mette 6 Fabozzi, Frank J. 6 Glabadanidis, Paskalis 6 Gupta, Rangan 6 Lardic, Sandrine 6 Lieberman, Offer 6 Liesenfeld, Roman 6 Ling, Shiqing 6 Mayoral, Laura 6 Meitz, Mika 6 Mignon, Valérie 6 Monfort, Alain 6 Peiris, Shelton 6 Yao, Qiwei 6
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Institution
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 4 Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska 3 National Bureau of Economic Research 3 EconWPA 2 European University Institute / Department of Economics 2 Springer International Publishing 2 Unité Mixte de Recherche Théorie Economique, Modélisation et Applications 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Økonomisk institutt, Universitetet i Oslo 2 Birkbeck College / Department of Economics 1 Birkbeck, Department of Economics, Mathematics & Statistics 1 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 1 Centre de Recherche en Économie Appliquée (CREA), Faculté de droit, d'économie et de finance 1 Columbia University / Department of Economics 1 Cowles Foundation for Research in Economics, Yale University 1 Department of Economics and Related Studies, University of York 1 Department of Economics, National University of Singapore 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 London School of Economics (LSE) 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 Vilnius Gediminas Technical University 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 30 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 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 8 Energy economics 8 International journal of economics and financial issues : IJEFI 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 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 empirical finance 5 Tourism management : research, policies, practice 5 Working paper / National Bureau of Economic Research, Inc. 5 Asian African journal of economics and econometrics 4
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Source
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ECONIS (ZBW) 1,277 RePEc 28 EconStor 6 USB Cologne (EcoSocSci) 4 BASE 1 ArchiDok 1
Showing 1 - 50 of 1,317
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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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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
Persistent link: https://ebtypo.dmz1.zbw/10013253754
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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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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...
Persistent link: https://ebtypo.dmz1.zbw/10013302008
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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 New Series 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...
Persistent link: https://ebtypo.dmz1.zbw/10012600294
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Modelling volatile time series with v-transforms and copulas
McNeil, Alexander J. - In: Risks 9 (2021) 1, 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/10013200684
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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
Persistent link: https://ebtypo.dmz1.zbw/10012436043
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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...
Persistent link: https://ebtypo.dmz1.zbw/10012582468
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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...
Persistent link: https://ebtypo.dmz1.zbw/10012422995
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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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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
Persistent link: https://ebtypo.dmz1.zbw/10012816374
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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...
Persistent link: https://ebtypo.dmz1.zbw/10012697497
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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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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...
Persistent link: https://ebtypo.dmz1.zbw/10013224055
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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...
Persistent link: https://ebtypo.dmz1.zbw/10013233504
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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...
Persistent link: https://ebtypo.dmz1.zbw/10013215985
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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...
Persistent link: https://ebtypo.dmz1.zbw/10013230670
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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...
Persistent link: https://ebtypo.dmz1.zbw/10013231818
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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...
Persistent link: https://ebtypo.dmz1.zbw/10013319574
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Bayesian approach for Indonesia inflation forecasting
Amry, Zul - In: International journal of economics and financial issues … 8 (2018) 5, pp. 96-102
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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
Persistent link: https://ebtypo.dmz1.zbw/10012372956
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Predicting prices of S&P500 index using classical methods and recurrent neural networks
Kijewskia, Mateusz; Ślepaczuk, Robert - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012322224
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A poisson autoregressive model to understand COVID-19 contagion dynamics
Agosto, Arianna; Giudici, Paolo - In: Risks : open access journal 8 (2020) 3/77, pp. 1-8
We present a statistical model which can be employed to understand the contagion dynamics of the COVID-19, which can heavily impact health, economics and finance. The model is a Poisson autoregression of the daily new observed cases, and can reveal whether contagion has a trend, and where is...
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An indirect proof for the asymptotic properties of VARMA model estimators
Mélard, Guy - 2020
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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
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True versus spurious long memory in cryptocurrencies
Rambaccussing, Dooruj; Mazibas, Murat - In: Journal of risk and financial management : JRFM 13 (2020) 9/186, pp. 186
We test whether the selected cryptocurrencies exhibit long memory behavior in returns and volatility. We use data on five most traded cryptocurrencies: Bitcoin, Litecoin, Ethereum, Bitcoin Cash, and XRP. Using recent tests of long memory developed against persistent and nonlinear alternatives,...
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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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Distributed ARIMA models for ultra-long time series
Wang, Xiaoqian; Kang, Yanfei; Hyndman, Rob J.; Li, Feng - 2020
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Nonlinear mixed effects models for time series forecasting of smart meter demand
Roach, Cameron; Hyndman, Rob J.; Ben Taieb, Souhaib - 2020
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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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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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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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The Analysis of Time Series Data on Regression, Heuristic, and ARIMA Models
Mammadova, Nargiz - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012833168
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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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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...
Persistent link: https://ebtypo.dmz1.zbw/10012827248
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A Unified Theory for ARMA Models With Varying Coefficients : One Solution Fits All
Karanasos, Menelaos - 2020
For the large family of ARMA models with variable coefficients we provide an explicit and computationally tractable solution representation, which yields the fundamental properties of such processes, including the Wold-Cramer decomposition and the covariance structure. These results are founded...
Persistent link: https://ebtypo.dmz1.zbw/10012835427
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A Poisson Autoregressive Model to Understand COVID-19 Contagion Dynamics
Agosto, Arianna - 2020
We present a statistical model which can be employed to understand the contagion dynamics of the COVID-19. The model is a Poisson autoregression, and can reveal whether contagion has a trend, and where is each country on that trend. Model results are presented from the observed series of China,...
Persistent link: https://ebtypo.dmz1.zbw/10012839877
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Forecasting the Exchange Rates of the Iraqi Dinar against the US Dollar using the Time Series model (ARIMA)
Farhan, Dr. Alaa Kadhim - 2020
Estimating the exchange rate is considered a key tool for economic planning and reaching economic stability. This study aims to reach the best model for predicting exchange rates of Iraqi Dinar against the U.S. dollar in the period (2008-2017). For this purpose the following methods have been...
Persistent link: https://ebtypo.dmz1.zbw/10012842122
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Moving Average Threshold Heterogeneous Autoregressive (MAT-HAR) Models
Motegi, Kaiji - 2020
We propose moving average threshold heterogeneous autoregressive (MAT-HAR) models as a novel combination of heterogeneous autoregression (HAR) and threshold autoregression (TAR). The MAT-HAR has multiple groups of lags of a target series, and a threshold term can appear in each group. The...
Persistent link: https://ebtypo.dmz1.zbw/10012848474
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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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Pitfalls in long memory research
Saha, Kunal; Madhavan, Vinodh; Chandrashekhar, G. R. - In: Cogent economics & finance 8 (2020) 1, pp. 1-14
This paper offers a multifaceted perspective of the literature on long memory. Although the research on long memory has played an instrumental role in elevating the level of scholarly discourse on market efficiency, the authors believe that the issue of the prevalence of long memory or lack...
Persistent link: https://ebtypo.dmz1.zbw/10012219328
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Hull-WEMA : a novel zero-lag approach in the moving average family, with an application to COVID-19
Hansun, Seng; Charles, Vincent; Gherman, Tatiana; … - In: International journal of management and decision making … 21 (2022) 1, pp. 92-112
Persistent link: https://ebtypo.dmz1.zbw/10012800251
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