Exploring long-memory process in the prediction of interval-valued financial time series and its application (Q6130997): Difference between revisions

Latest revision as of 18:44, 30 December 2024

scientific article; zbMATH DE number 7827325

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English	Exploring long-memory process in the prediction of interval-valued financial time series and its application	scientific article; zbMATH DE number 7827325

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scholarly article

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title

Exploring long-memory process in the prediction of interval-valued financial time series and its application (English)

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Journal of Systems Science and Complexity

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publication date

3 April 2024

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zbMATH Keywords

ARFIMAX-FIGARCH

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interval-valued time series

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IV-VARFIMA

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long-memory process

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WTI crude oil futures price

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MaRDI profile type

MaRDI publication profile

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cites work

Measuring Discontinuities in Time Series Obtained with Repeated Sample Surveys

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Bounds on mean absolute deviation portfolios under interval-valued expected future asset returns

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Interval-valued time series models: estimation based on order statistics exploring the agriculture marketing service data

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A constrained interval-valued linear regression model: a new heteroscedasticity estimation method

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Threshold autoregressive models for interval-valued time series data

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Bootstrap based multi-step ahead joint forecast densities for financial interval-valued time series

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A rule-based granular model development for interval-valued time series

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Trimmed fuzzy clustering of financial time series based on dynamic time warping

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A new time-varying model for forecasting long-memory series

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Long-Term Memory in Stock Market Prices

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THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

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Log-periodogram regression of time series with long range dependence

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Long memory relationships and the aggregation of dynamic models

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Fractional differencing

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ON GENERALIZED FRACTIONAL PROCESSES

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A harmonically weighted filter for cyclical long memory processes

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Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence

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The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence

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Conditional Heteroskedasticity in Asset Returns: A New Approach

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Varieties of long memory models

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Identifiers

Mathematics Subject Classification ID

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10.1007/S11424-024-2112-9

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Sitelinks

Mathematics(1 entry)

mardi Publication:6130997

@@ Property / DOI @@
-.1007/s11424-024-2112-9
@@ Property / DOI: 10.1007/s11424-024-2112-9 / rank @@
-Normal rank
@@ Property / cites work @@
+Measuring Discontinuities in Time Series Obtained with Repeated Sample Surveys
+Normal rank
@@ Property / cites work @@
+Bounds on mean absolute deviation portfolios under interval-valued expected future asset returns
+Normal rank
@@ Property / cites work @@
+Interval-valued time series models: estimation based on order statistics exploring the agriculture marketing service data
+Normal rank
@@ Property / cites work @@
+A constrained interval-valued linear regression model: a new heteroscedasticity estimation method
+Normal rank
@@ Property / cites work @@
+Threshold autoregressive models for interval-valued time series data
+Normal rank
@@ Property / cites work @@
+Bootstrap based multi-step ahead joint forecast densities for financial interval-valued time series
+Normal rank
@@ Property / cites work @@
+A rule-based granular model development for interval-valued time series
+Normal rank
@@ Property / cites work @@
+Trimmed fuzzy clustering of financial time series based on dynamic time warping
+Normal rank
@@ Property / cites work @@
+A new time-varying model for forecasting long-memory series
+Normal rank
@@ Property / cites work @@
+Long-Term Memory in Stock Market Prices
@@ Property / cites work: Long-Term Memory in Stock Market Prices / rank @@
+Normal rank
@@ Property / cites work @@
+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
+Normal rank
@@ Property / cites work @@
+Log-periodogram regression of time series with long range dependence
+Normal rank
@@ Property / cites work @@
+Long memory relationships and the aggregation of dynamic models
+Normal rank
@@ Property / cites work @@
+Fractional differencing
@@ Property / cites work: Fractional differencing / rank @@
+Normal rank
@@ Property / cites work @@
+ON GENERALIZED FRACTIONAL PROCESSES
@@ Property / cites work: ON GENERALIZED FRACTIONAL PROCESSES / rank @@
+Normal rank
@@ Property / cites work @@
+A harmonically weighted filter for cyclical long memory processes
+Normal rank
@@ Property / cites work @@
+Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence
+Normal rank
@@ Property / cites work @@
+The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence
+Normal rank
@@ Property / cites work @@
+Conditional Heteroskedasticity in Asset Returns: A New Approach
+Normal rank
@@ Property / cites work @@
+Varieties of long memory models
@@ Property / cites work: Varieties of long memory models / rank @@
+Normal rank
@@ Property / DOI @@
+.1007/S11424-024-2112-9
@@ Property / DOI: 10.1007/S11424-024-2112-9 / rank @@
+Normal rank