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Showing 1 to 2 of 2 for “"ARMA(1"”.
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Analysis of Continuous Longitudinal Data with ARMA(1, 1) and Antedependence Correlation Structures
… the first-order autoregressive-moving average (ARMA(1, 1)) stationary time-series model. ARMA(1, 1) correlation structure is characterized by two correlation parameters and this correlation structure reduces to the AR(1), MA(1) and CS structures in special cases. Although standard efficient …
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Essays on investment
… implied by theoretical models (Random Walk and ARMA (1, 1)) - suggesting the profitability of momentum trading. We illustrate this by forming long-only, short-only and long-short trading strategies that exploit positive and negative momentum and their average survival time. Our trading …