Search Results - subject_exact:"ARMA-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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015662160

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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015373952

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015333827

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

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015417784

Density-valued ARMA models by spline mixtures

Matsuda, Yasumasa; Iwafuchi, Rei - 2025

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015423948

Multiple seasonal autoregressive integrated moving average models

Lisi, Francesco; Grigoletto, Matteo - 2025

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015596207

Modelling and forecasting Sharīʿah-compliant stocks

Goh, Thomas Sumarsan; Henry; Albert - 2025

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015397368

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://www.econbiz.de, 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 robust Beveridge-Nelson decomposition using a score-driven approach with an application

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

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014491877

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

Bufalo, Michele; Orlando, Giuseppe - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014512279

Modelling profitability of private equity : a fractional integration approach

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

Persistent link: https://www.econbiz.de, 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

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014526094

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

Mahanta, Nibedita; Talukdar, Ruma - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015116846

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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015188090

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

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015178466

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015179218

A comparative assessment of holt winter exponential smoothing and autoregressive integrated moving average for inventory optimization in supply chains

Kumar, Lalji; Khedlekar, Sudhakar; Khedlekar, Uttam Kumar - 2024

Precise demand forecasting and agile pricing strategies are crucial in modern business. This study aims to enhance these strategies by evaluating the efficacy of Holt-Winters Exponential Smoothing (HWES) and Autoregressive Integrated Moving Average (ARIMA) models. The study assesses their...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015325094

A Bayesian Dirichlet auto-regressive moving average model for forecasting lead times

Katz, Harrison; Brusch, Kai Thomas; Weiss, Robert E. - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015438453

Analyzing and forecasting CO₂ emissions in the aluminum sector using ARIMA model

Hasanov, Ramil; Safarov, Jamil; Safarli, Arzu - 2024

The urgent and pressing challenge posed by global climate change underscores the critical need for immediate and decisive action, particularly in the mitigation of greenhouse gas (GHG) emissions to facilitate a trajectory towards sustainability. The significance of the aluminium industry,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015554202

A unified theory for ARMA models with varying coefficients : one solution fits all

Karanasos, Menelaos; Paraskevopoulos, Athanasios; … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015046279

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A Unified Theory for ARMA Models With Varying Coefficients : One Solution Fits All

Karanasos, Menelaos - 2020

Book / Working Paper

Predicting the unemployment rate using autoregressive integrated moving average

Huruta, Andrian Dolfriandra - 2024

The objective of this study is to predict unemployment in Indonesia in the wake of the demographic dividend. The sample used in this study is the unemployment data from 1990 to 2022 from the Indonesian Central Bureau of Statistics database. Using non-seasonal ARIMA (Autoregressive Integrated...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014540210

Persistence in tax revenues : evidence from some OECD countries

Caporale, Guglielmo Maria; García Tapia, Silvia; … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015185215

A basic time series forecasting course with Python

Zemkoho, Alain B. - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013488665

Combining counterfactual outcomes and ARIMA models for policy evaluation

Menchetti, Fiammetta; Cipollini, Fabrizio; Mealli, Fabrizia - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013543270

Co-integration with score-driven models : an application to US real GDP growth, US inflation rate, and effective federal funds rate

Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014247362

Comparative performance of LSTM and ARIMA for the short-term prediction of Bitcoin prices

Latif, Navmeen; Selvam, Joseph Durai; Kapse, Manohar; … - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014258988

Seasonal Autoregressive Integrated Moving Average (SARIMA) Model for the Analysis of Frequency of Monthly Rainfall in Osun State, Nigeria

Adams, Samuel Olorunfemi; Mustapha, Bello; Alumbugu, … - 2023

The Seasonal Autoregressive Integrated Moving Average (SARIMA) model is proposed for Osun State monthly rainfall data and the analysis was based on probability time series modeling approach. The Plot of the original data shows that the time series is stationary and the Augmented Dickey-Fuller...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014262912

Forecasting Implied Volatility : The Role of Long-Memory

Wen, Conghua; Zhai, Jia; Wang, Yinuo; Cao, Yi - 2023

This study employs machine learning models to forecast and comprehend the implied volatility of China ETF50. We develop a hybrid model named LSTM-ML, leveraging historical implied volatility, moneyness, and time-to-maturity as input features. The LSTM component captures dynamic hidden...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014352550

Chinese GDP Forecast Using ARIMA Model

Ali, Fawaz - 2023

China's economy is very interesting to analyze because it is recognized as the highest GDP in the world. Despite the ability of China's economy to reform and grow, China shows fluctuation in its economy especially after the crisis in 1997 and 2008. When China was able to counter the 2008...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014259980

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