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Dissertations / Theses on the topic 'ARFIMA model'

Author: Grafiati

Published: 4 June 2021

Last updated: 1 February 2022

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1

Omran, Hayan. "Examining the relationship between trading volume, market return volatility and U.S. aggregate mutual fund flow." Thesis, Brunel University, 2016. http://bura.brunel.ac.uk/handle/2438/12848.

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This thesis consists of three studies which cover topics in the trading volume-market return volatility linkage, stock market return-aggregate mutual fund flow relationship as well as market return volatility-aggregate mutual fund flow interaction. Chapter 2 investigates the issue of volume-volatility linkage in the US market for the period 1990-2012 (S&P 500) and 1992-2012 (Dow Jones). We construct four sub-samples depending on three different structural points (the Asian Financial Crisis, the Dot-Com Bubble and the 2007 Financial Crisis). By employing univariate and bivariate GARCH processes

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2

MONROY, N. A. J. "Modelo ARFIMA Espaço-Temporal em Estudos de Poluição do Ar." Universidade Federal do Espírito Santo, 2013. http://repositorio.ufes.br/handle/10/3919.

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Made available in DSpace on 2016-08-29T15:09:50Z (GMT). No. of bitstreams: 1 tese_7242_Tese Nataly Adriana Jimenez Monroy.pdf: 1647826 bytes, checksum: 043d39d2450d7eba488a63e03d4918ad (MD5) Previous issue date: 2013-08-28<br>Nos estudos de polui¸c ao atmosf´erica ´e comum observar dados medidos em diferentes posi¸c oes no espa¸co e no tempo, como ´e o caso da medi¸c ao de concentra¸c oes de poluentes em uma cole¸c ao de esta¸c oes de monitoramento. A din amica desse tipo de observa¸c oes pode ser representada por meio de modelos estat´ısticos que consideram a depend encia entre as obse

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3

Hauser, Michael A. "Maximum Likelihood Estimators for ARMA and ARFIMA Models. A Monte Carlo Study." Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business, 1998. http://epub.wu.ac.at/794/1/document.pdf.

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We analyze by simulation the properties of two time domain and two frequency domain estimators for low order autoregressive fractionally integrated moving average Gaussian models, ARFIMA (p,d,q). The estimators considered are the exact maximum likelihood for demeaned data, EML, the associated modified profile likelihood, MPL, and the Whittle estimator with, WLT, and without tapered data, WL. Length of the series is 100. The estimators are compared in terms of pile-up effect, mean square error, bias, and empirical confidence level. The tapered version of the Whittle likelihood turns out to be a

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4

SOUZA, LEONARDO ROCHA. "BOOTSTRAP IMPLEMENTATION IN THE PARAMETERS ESTIMATION OF ARFIMA MODELS AND MONTECARLO SIMULATIONS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 1997. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=8695@1.

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CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICO<br>Nesta tese de mestrado, foram analisados aspectos, propriedades, utilidade e desempenho do bootstrap, um método de reamostragem, na estimação de um parâmetro relacionado à memória longa, ou longa dependência, em séries temporais. Entre outras coisas, obtém-se estimativas do desvio-padrão do estimador do parâmetro, e um teste de hipóteses para o parâmetro. O bootstrap pode conseguir propriedades de grandes amostras a partir de um número pequeno de observações. O procedimento do bootsptrap consiste de reamostrar, com repos

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5

Stocker, Toni Clemens. "On the asymptotic properties of the OLS estimator in regression models with fractionally integrated regressors and errors." [S.l. : s.n.], 2008. http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-57370.

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6

Van, Heerden Petrus Marthinus Stephanus. "The relationship between the forward– and the realized spot exchange rate in South Africa / Petrus Marthinus Stephanus van Heerden." Thesis, North-West University, 2010. http://hdl.handle.net/10394/4511.

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The inability to effectively hedge against unfavourable exchange rate movements, using the current forward exchange rate as the only guideline, is a key inhibiting factor of international trade. Market participants use the current forward exchange rate quoted in the market to make decisions regarding future exchange rate changes. However, the current forward exchange rate is not solely determined by the interaction of demand and supply, but is also a mechanistic estimation, which is based on the current spot exchange rate and the carry cost of the transaction. Results of various studies, inclu

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7

Ko, Kyungduk. "Bayesian wavelet approaches for parameter estimation and change point detection in long memory processes." Diss., Texas A&M University, 2004. http://hdl.handle.net/1969.1/2804.

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The main goal of this research is to estimate the model parameters and to detect multiple change points in the long memory parameter of Gaussian ARFIMA(p, d, q) processes. Our approach is Bayesian and inference is done on wavelet domain. Long memory processes have been widely used in many scientiﬁc ﬁelds such as economics, ﬁnance and computer science. Wavelets have a strong connection with these processes. The ability of wavelets to simultaneously localize a process in time and scale domain results in representing many dense variance-covariance matrices of the process in a sparse form. A wavel

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8

Delgado, Júlio António Rocha. "Aplicação empírica da realized volatility ao índice PSI20." Master's thesis, Instituto Superior de Economia e Gestão, 2005. http://hdl.handle.net/10400.5/17746.

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Mestrado em Economia Monetária e Financeira<br>Nesta dissertação é feito um estudo sobre o novo método ou procedimento (não paramétrico) de estimação da volatilidade recentemente proposto na literatura, a Realized Volatility (RV), obtido pela soma dos produtos cruzados dos retornos de alta- frequência intra-diários. O objectivo principal do estudo consiste em fazer uma aplicação empírica da RV ao índice PSI20, focando sobretudo nos estudos das propriedades das distribuições condicionais e não condicionais, confrontando com os resultados já obtidos na literatura. Considerand

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9

Vdovičenko, Martin. "ARFIMA modely časových řad." Master's thesis, 2014. http://www.nusl.cz/ntk/nusl-323046.

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The thesis deal with long-memory processes which are defined by several ways. The main concern is dedicated to ARFIMA model, to its basic properties and its application. Next, graphical, semiparametric and parametric estimation methods of ARFIMA parameters are described in detail. Five selected R packages are introduced that are suitable for modeling long-memory processes. We discuss their basic functions with description of input arguments and output. Finally, the application of the packages on real data is discussed according to results of~each function. Data sample comes from the Nile River

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10

"An analysis of the Hong Kong stock market by the ARFIMA-GARCH model." 2001. http://library.cuhk.edu.hk/record=b5890703.

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Cheung Hiu-Yan.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2001.<br>Includes bibliographical references (leaves 83-87).<br>Abstracts in English and Chinese.<br>ACKNOWLEGMENTS --- p.iii<br>LIST OF TABLES --- p.iv<br>LIST OF ILLUSTRATIONS --- p.vi<br>CHAPTER<br>Chapter ONE --- INTRODUCTION --- p.1<br>Chapter TWO --- THE LITERATURE REVIEW --- p.6<br>The Family of the ARFIMA Process<br>Parameter Estimation of the ARFIMA Process<br>Applications in Economic and Financial Time Series<br>Chapter THREE --- THEORETICAL MODELS AND METHODOLOGY --- p.16<br>Theoretical Models of Long-memory

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11

張靜宜. "Forecasting Oil Volatility Using HAR and ARFIMA Models." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/10469595720317274187.

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12

Chang, Ya-Mei, and 張雅梅. "Estimation of Long-Memory Parameter in ARFIMA Models: ARMA Approximation Approach." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/47273124552412049110.

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碩士<br>國立清華大學<br>統計學研究所<br>90<br>A new method for estimating long-memory parameter in ARFIMA Models is proposed based on ARMA approximation. The Kullback-Leibler discrepancy is used to find a best ARMA approximation for a FI(d) model. The performance of the new estimator is investigated and compared to previous methods in finite sample via simulations. The Nile River data are used for illustration.

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13

Dechert, Andreas. "Fraktionale Integration und Kointegration in Theorie und Praxis." Doctoral thesis, 2014. https://nbn-resolving.org/urn:nbn:de:bvb:20-opus-110028.

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Das Ziel der Arbeit ist eine Zusammenfassung über den Stand der Forschung über das Thema der fraktionalen Integration und Kointegration sowie Weiterentwicklungen der aktuellen Methoden im Hinblick darauf, dass sie robuster auf eine Reihe von empirischen Gegebenheiten anwendbar sind. Hierzu wurden insbesondere die Möglichkeiten von Strukturbrüchen in deterministischen Prozessanteilen vorgeschlagen sowie deren Auswirkungen auf Schätzeigenschaften analysiert. Mit diesem Wissen können Schätzstrategien entwickelt werden, die auch im empirischen Teil der Arbeit angewandt wurden. Der Aufbau der Arbei

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14

Kao, Ming-Hung, and 高銘宏. "Bayesian Analysis of Long memory with Multiple Change-points using ARFIMA-ARCH models." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/12759249682832909170.

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15

Kao, Hsiu-Chen, and 高秀貞. "The Forecast of Asian Currency Exchange Index and Exchange-Traded Funds: The Analysis of ARFIMA-FIAPARCH Models." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/jc9vkr.

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碩士<br>中原大學<br>企業管理研究所<br>104<br>The fluctuating exchange rate is violent through the influence at financial crises. This had been impelled the finacial environment during the 1997 Asia financial crisis. As Asia economies particularly hard hit by the crisis, the unstable exchange rate has been much attention. This study refers to the structure of EURO currency basket, and constructs the Chinese Currency Unit（CCU）using the weights based on GDP per capita, export and net reserves of China, Taiwan and Hong Kong to measure Chinese Currency Unification’s central rate from 1992/3 to 2016/2. This pape

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