This paper intends to model time series with the aim of per-form forecast using integer and fractional differencing for agricultural commodities future’s price. Time series models of the ARMA/ARIMA type (integer differencing) will be estimated and compared to ARFIMA type models...

The Commonwealth of Virginia abolished parole and reformed sentencing for all felony of-fenders committed on or after January 1, 1995. We examine the impact of this legislationon reported crime rates using different time series approaches. In particular, structuraltime series models are...

Considering the hypothesis of opposite strategy or overreaction in stock prices, this research deals with this type of the market’s anomaly through an econometric analysis, which aims to get more explanatory model of the overreaction in the Brazilian capital market. The procedure was to...

Abstract The advent of the EU–US Open Skies Agreement has been widely anticipated. A number of consequences have been predicted, for example, impacts on fares, passenger volumes, choice and consumer welfare. Airline costs are also predicted to fall as a result of increased competitiveness and...

The aim of the paper is to investigate the use of online data and time series analysis, in order to study the dynamics of new types of research collaboration in a systematic way. Two international research teams were studied for more than 3 years, and quantitative data about their internet use...

We model aggregate delinquency behaviour for consumer credit (including credit card loans and other consumer loans) and for residential real estate loans using data up until 2008. We test for cointegrating relationships and then estimate short run error correction models. We find evidence to...

This paper investigates whether transforming the Consumer Price Index with a class of power transformations lead to an improvement of inflation forecasting accuracy. We use one of the prototypical models to forecast short run inflation which is known as the univariate time series ARIMA . This...

The People's Republic of China is one of the world's most popular tourist destinations. This paper reviews the development of the Chinese inbound tourism industry after the cultural revolution and analyses tourist flows from Japan, which is the most important short-haul inbound market for China....

This study documents the SNB's ARIMA model based on disaggregated CPI data used to produce inflation forecasts over the short-term horizon, and evaluates its forecasting performance. Our findings suggest that the disaggregate ARIMA model for the Swiss CPI performed better than relevant...