ARFIMA models, as advocated by Jiang and Tian for use in long-term volatility forecasting, are found in a follow-up empirical study to be dominated by a certain simple historical predictor of stock price volatility at a five-year horizon. (This particular historical predictor is not recommended...

Using Gretl, I apply ARMA, Vector ARMA, VAR, state-space model with a Kalman filter, transfer-function and intervention models, unit root tests, cointegration test, volatility models (ARCH, GARCH, ARCH-M, GARCH-M, Taylor-Schwert GARCH, GJR, TARCH, NARCH, APARCH, EGARCH) to analyze quarterly time...

Stationarity tests are used to detect mean reversion in a certain dataset. Mean Reversion processes suggest a non-random behavior in a time series (Lo and MacKinley, 1988). Previous research has focused on studying mean reversion at stock price level (Debondt and Thaler, 1985; Lindemann et al.,...

Ralph N. Elliott wrote the wave principle in 1938. In 1975 Benoit B. Mandelbrot coined the term fractal and in 1982 published his ideas in "The Fractal Geometry of Nature." The book brought fractals into the mainstream of professional and popular mathematics. In February 1999, Benoit Mandelbrot...

Donald Trump won the election in 2016 largely because enough voters in three states, all in the Rustbelt, who had voted for Barack Obama in both 2008 and 2012, switched their vote from Democratic to Republican. Economic dislocations played a crucial role in these swing states or democratic...

The Seasonal Autoregressive Integrated Moving Average (SARIMA) model is proposed for Osun State monthly rainfall data and the analysis was based on probability time series modeling approach. The Plot of the original data shows that the time series is stationary and the Augmented Dickey-Fuller...

This work brings together two distinct pieces of evidence concerning, at the macro level, international distributions of incomes and their dynamics, and, at the micro level, the size distributions of firms and the properties of their growth rates. First, our empirical analysis provides a new...

Factor based forecasting has been at the forefront of developments in the macroeconometric forecasting literature in the recent past. Despite the flurry of activity in the area, a number of specification issues such as the choice of the number of factors in the forecasting regression, the...

This paper introduces the concepts of time-specific weak and strong cross section dependence. A double-indexed process is said to be cross sectionally weakly dependent at a given point in time, t, if its weighted average along the cross section dimension (N) converges to its expectation in...