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Modelling and forecasting of day-ahead electricity price in Indian energy exchange : evidence from MSARIMA-EGARCH model
Ghosh, Sajal; Kanjilal, Kakali - In: International journal of Indian culture and business … 8 (2014) 3, pp. 413-423
Persistent link: https://www.econbiz.de/10010401577
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Predicting crude oil prices during a pandemic : a comparison of Arima and Garch models
Haque, Mohammad Imdadul; Shaik, Abdul Rahman - In: Montenegrin journal of economics 17 (2021) 1, pp. 197-207
Persistent link: https://www.econbiz.de/10012436043
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Forecasts for international financial series with VMD algorithms
Guo, Wei; Liu, Qingfu; Luo, Zhidan; Tse, Yiuman - In: Journal of Asian economics 80 (2022), pp. 1-14
Persistent link: https://www.econbiz.de/10013431356
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Forecasting the volatilities of the Nigeria stock market prices
Ibrahim, Sikiru O. - In: CBN Journal of Applied Statistics 08 (2017) 2, pp. 23-45
family (ARCH, GARCH, TGARCH, EGARCH and PGARCH) and ARIMA models are used to assess and forecast volatilities in prices on …The objective of this work is to assess and forecast the volatilities of prices on the Nigeria Stock Exchange. The ARCH …
Persistent link: https://www.econbiz.de/10011961666
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Modeling and forecasting Hang Seng index volatility with day-of-week effect, spillover effect based on ARIMA and HAR
Chen, Yanhui; Lai, Kin Keung; Du, Jiangze - In: Eurasian economic review : a journal in applied … 4 (2014) 2, pp. 113-132
Persistent link: https://www.econbiz.de/10010514801
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Herding, a-synchronous updating and heterogeneity in memory in a CBS
Diks, Cees G. H.; Weide, Roy van der - 2003
explicit nature of the dynamics of the CBS we show that the introduction of herding modifies the random walk to an ARIMA($0 …
Persistent link: https://www.econbiz.de/10011334332
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Aggregation of exponential smoothing processes with an application to portfolio risk evaluation
Sbrana, Giacomo; Silvestrini, Andrea - In: Journal of banking & finance 37 (2013) 5, pp. 1437-1450
Persistent link: https://www.econbiz.de/10009729085
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Applying ARMA-GARCH approaches to forecasting short-term electricity prices
Liu, Heping; Shi, Jing - In: Energy economics 37 (2013), pp. 152-166
Persistent link: https://www.econbiz.de/10009760851
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Inflation volatility in Indonesia using ARIMA model : before and during COVID-19
Wahyudi, Setyo Tri; Nabella, Rihana Sofie; Sari, Kartika - 2022
Persistent link: https://www.econbiz.de/10013197497
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Dynamic interaction between historical and implied volatility in the Indian option market
Viswanathan, T.; Sriram, R.; Mukherjee, Prathana - In: International journal of public sector performance … 8 (2021) 1/2, pp. 128-144
Persistent link: https://www.econbiz.de/10012696739