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Showing 1 to 6 of 6 for “"ARFIMA"”.

  1. Testes de ajustamento de modelos em processos com longa dependência

    Chieppe, Leonardo Oliveira2003

    … (1994) e Pe˜na e Rodríguez (2002) nos processos ARFIMA(p; d; q). Consideramos o processo ARFIMA(p; d; q) nas situações adequadas para representar séries temporais com características de longa dependência. Para estimar o parâmetro de diferenciação d utilizamos os métodos de estimação propostos por …

    brazil-ufrgs Repository record

  2. Long memory in bond market returns: a test of weak-form efficiency in Botswana's bond market

    Muzhoba, GorataDepartment of Finance and Tax2021

    Using the ARFIMA-FIGARCH model, this dissertation examines the efficiency of Botswana's bond market. It focuses on the properties of the return and volatility of the Fleming Asset Bond Index (the main aggregate fixed income benchmark index in Botswana) over the period September 2009 to May 2019. …

    cape-town Repository record

  3. Essays on economic value of intraday covariation estimators for risk prediction

    Liu, W.City University London2012

    … models, as well as GARCH models extended with ARFIMA forecasted realized measures. Conditional coverage test results indicate that intraday models, both univariate and multivariate ones, outperform their daily counterparts by providing more accurate VaR forecasts. Chapter 5 investigates the …

    city-london Repository record

  4. Essays on the economic value of intraday covariation estimators for risk prediction

    Liu, WeiCity University London2012

    … models, as well as GARCH models extended with ARFIMA forecasted realized measures. Conditional coverage test results indicate that intraday models, both univariate and multivariate ones, outperform their daily counterparts by providing more accurate VaR forecasts. Chapter 5 investigates the …

    city-london Repository record

  5. Wybór najlepszych prognostycznych modeli zmienności finansowych szeregów czasowych za pomocą testów statystycznych

    Buszkowska-Khemissi, Eliza2010

    amu-pl

  6. Essays on Regional Recessions, Spatial Interactions and Forecasting

    Shibaev, Sergei2017

    This thesis contains three essays spanning the fields of econometrics and empirical macroeconomics. The first essay develops an econometric procedure that enables applied researchers to quantify spatial interactions from panel data where variables exhibit recurrent abrupt shifts in behavior. In …

    queens Repository record