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The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics
Diongue, Abdou Kâ; Guegan, Dominique - HAL - 2008
complex seasonality patterns, persistence (hyperbolic decay of the autocorrelation function), mean reversion, spikes …
Persistent link: https://www.econbiz.de/10010750566
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The Stationary Seasonal Hyperbolic Asymmetric Power ARCH model
Diongue, Abdou Kâ; Guegan, Dominique - HAL - 2007
Most financial time series exhibit seasonality, persistence (hyperbolic decay of the autocorrelation function …
Persistent link: https://www.econbiz.de/10010750929
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The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics.
Diongue, Abdou Kâ; Guegan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008
complex seasonality patterns, persistence (hyperbolic decay of the autocorrelation function), mean reversion, spikes …
Persistent link: https://www.econbiz.de/10005797746
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On synchronization, persistence and seasonality in some spatially inhomogeneous models in epidemics and ecology
Ahmed, E.; Hegazi, A.S.; Elgazzar, A.S.; Yehia, H.M. - In: Physica A: Statistical Mechanics and its Applications 322 (2003) C, pp. 155-168
, synchronization and seasonality in the theoretical models. In this work, spatial heterogeneity is introduced via coupled map lattices … (CML) and partial differential equations. Stability and persistence of some realistic CML are discussed. Chaos control …, synchronization and persistence are studied for some CML. Some applications in population biology and ecology are given. A simple …
Persistent link: https://www.econbiz.de/10010590024
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Forecasting Intraday Volatility and Value-at-Risk with High-Frequency Data
So, Mike; Xu, Rui - In: Asia-Pacific Financial Markets 20 (2013) 1, pp. 83-111
trading. As expected, the volatility features a significant intraday seasonality, which motivates us to include the intraday …
Persistent link: https://www.econbiz.de/10010989067
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Bayesian averaging of classical estimates in forecasting macroeconomic indicators with application of business survey data
Białowolski, Piotr; Kuszewski, Tomasz; Witkowski, Bartosz - In: Empirica 41 (2014) 1, pp. 53-68
impact of deterministic and stochastic seasonality of the business survey time series on the outcome of the forecasting … process. We propose an intuitive procedure for incorporating both types of seasonality into the forecasting process. After …
Persistent link: https://www.econbiz.de/10010990131
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Density Forecasting of Intraday Call Center Arrivals Using Models Based on Exponential Smoothing
Taylor, James W. - In: Management Science 58 (2012) 3, pp. 534-549
A key input to the call center staffing process is a forecast for the number of calls arriving. Density forecasts of arrival rates are needed for analytical call center models, which assume Poisson arrivals with a stochastic arrival rate. Density forecasts of call volumes can be used in...
Persistent link: https://www.econbiz.de/10010990427
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Seasonal Unit Root: An Application to Turkish Industrial Production Series
Pinar Gürel, Sinem; Tiryakioglu, Murad - In: Business and Economics Research Journal 3 (2012) 4, pp. 77-77
determine what kind of seasonality is present in the data. For this reason, we search for the seasonal unit root with five …-stationary stochastic seasonality in the series. …
Persistent link: https://www.econbiz.de/10010991053
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Water Resources Management in the Ganges Basin: A Comparison of Three Strategies for Conjunctive Use of Groundwater and Surface Water
Khan, Mahfuzur; Voss, Clifford; Yu, Winston; Michael, Holly - In: Water Resources Management 28 (2014) 5, pp. 1235-1250
The most difficult water resources management challenge in the Ganges Basin is the imbalance between water demand and seasonal availability. More than 80 % of the annual flow in the Ganges River occurs during the 4-month monsoon, resulting in widespread flooding. During the rest of the year,...
Persistent link: https://www.econbiz.de/10010997417
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Seasonality Characteristics and Spatio-temporal Trends of 7-day Low Flows in a Large, Semi-arid Watershed
Farahani, Maryam Azizabadi; Khalili, Davar - In: Water Resources Management 27 (2013) 14, pp. 4897-4911
Seasonality characteristics and spatio-temporal trends of 7-day low flows were investigated for the 41,470 km … (1958–2008). Hierarchical Cluster Analysis (HCA) was used to identify low-flow seasonality (clusters of low flow seasons …-arid environments low flow seasonality characteristics may vary among stations, an indication that low flow trends should be evaluated …
Persistent link: https://www.econbiz.de/10010997420