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isPartOf:"Economic modelling"
~isPartOf:"Applied financial economics"
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Search: subject_exact:"Autoregressive moving average"
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1
Forecasts of the real price of oil revisited : do they beat the random walk?
Ellwanger, Reinhard
;
Snudden, Stephen
- In:
Journal of banking & finance
154
(
2023
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014491682
Saved in:
2
The financial cycles in four East Asian economies
Pontines, Victor
- In:
Economic modelling
65
(
2017
),
pp. 51-66
Persistent link: https://www.econbiz.de/10011813550
Saved in:
3
Breaks or long range dependence in the energy futures volatility : out-of-sample forecasting and VaR analysis
Charfeddine, Lanouar
- In:
Economic modelling
53
(
2016
),
pp. 354-374
Persistent link: https://www.econbiz.de/10011641058
Saved in:
4
Improving estimation of the fractionally differencing parameter in the SARFIMA model using tapered periodogram
Ye, Xunyu
;
Gao, Ping
;
Li, Handong
- In:
Economic modelling
46
(
2015
),
pp. 167-179
Persistent link: https://www.econbiz.de/10011436579
Saved in:
5
Long memory and regime switching : a simulation study on the Markov regime-switching ARFIMA model
Shi, Yanlin
;
Ho, Kin-Yip
- In:
Journal of banking & finance
61
(
2015
)
2
,
pp. 189-204
Persistent link: https://www.econbiz.de/10011585562
Saved in:
6
Adaptive ARFIMA models with applications to inflation
Baillie, Richard
;
Morana, Claudio
- In:
Economic modelling
29
(
2012
)
6
,
pp. 2451-2459
Persistent link: https://www.econbiz.de/10009673677
Saved in:
7
Improving VWAP strategies : a dynamic volume approach
Białkowski, Je̜drzej
;
Darolles, Serge
;
LeFol, Gaëlle
- In:
Journal of banking & finance
32
(
2008
)
9
,
pp. 1709-1722
Persistent link: https://www.econbiz.de/10003774720
Saved in:
8
Dynamics of realized volatilities and correlations : an empirical study
Ferland, René
;
Lalancette, Simon
- In:
Journal of banking & finance
30
(
2006
)
7
,
pp. 2109-2130
Persistent link: https://www.econbiz.de/10003339530
Saved in:
9
Forecasting currency volatility : a comparison of implied volatilities and AR(FI)MA models
Pong, Shiuyan
;
Shackleton, Mark B.
;
Taylor, Stephen
; …
- In:
Journal of banking & finance
28
(
2004
)
10
,
pp. 2541-2563
Persistent link: https://www.econbiz.de/10002233147
Saved in:
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