Relevant bibliographies by topics / Augmented Dickey Fuller test

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  1. Journal articles
  2. Dissertations / Theses
  3. Book chapters
  4. Conference papers

Academic literature on the topic 'Augmented Dickey Fuller test'

Author: Grafiati
Published: 2 June 2025
Last updated: 31 July 2025

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Journal articles on the topic "Augmented Dickey Fuller test"

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Guo, Zhichao. "Research on the Augmented Dickey-Fuller Test for Predicting Stock Prices and Returns." Advances in Economics, Management and Political Sciences 44, no. 1 (2023): 101–6. http://dx.doi.org/10.54254/2754-1169/44/20232198.

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With the continuous accumulation of theoretical knowledge and progressive applied research, analyzing financial time series data gradually becomes everlasting research in modern days. The simpler Dickey-Fuller originally is a test commonly used in econo-metrics and finance to test the stationarity of financial time series data. Thereafter, simpler Dickey-Fuller is eventually extended to the augmented Dickey-Fuller test to examine the stationarity of financial time series data such as stock prices, returns, and so on. This paper mainly focuses on the utilization of the augment Dickey-Fuller tes
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Islam, Masudul, Afroza Akhtar, Sirajum Munira, Md Salauddin Khan, and Md Monzur Murshed. "Optimized Dickey-Fuller Test Refines Sign and Boundary Problems Compare to Traditional Dickey-Fuller Test." International Journal of Statistics and Probability 7, no. 5 (2018): 19. http://dx.doi.org/10.5539/ijsp.v7n5p19.

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Impede nonstationarity is vigorous to study performance of time series data and removes long-term components to expose any regular short-term regularity. So, we find miscellaneous unit root tests for instance Dickey-Fuller test, Augmented Dickey-Fuller plus DF-GLS Tests and identify that almost all unit root tests with the estimated model suffer from sign and boundary problems of the parameters to smooth the progress of the non-stationarity problem. In this paper, we usage Dickey-Fuller test and impose some limits on the parameter. Our proposed optimized DF test based on error sum of square (E
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Krämer, Walter. "Fractional integration and the augmented Dickey–Fuller Test." Economics Letters 61, no. 3 (1998): 269–72. http://dx.doi.org/10.1016/s0165-1765(98)00194-3.

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Acharya, Durga. "Comparative Analysis of Stock Bubble in S&P 500 Individual Stocks: A Study Using SADF and GSADF Models." Journal of Risk and Financial Management 17, no. 2 (2024): 59. http://dx.doi.org/10.3390/jrfm17020059.

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Stock bubbles are characterized by unpredictable price surges and subsequent declines, causing significant losses for investors. This study investigates the effectiveness of the Generalized Sup Augmented Dickey–Fuller (GSADF) test in identifying mild explosive patterns and speculative bubbles within individual S&P 500 stocks, as compared to the Sup Augmented Dickey–Fuller (SADF) test. Utilizing real-time monitoring data, this research examines unit roots, stationarity, and the ability to detect multiple structural breaks. The GSADF test consistently outperforms the SADF test in rejecting t
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Bodhgire, Nandkumar Baburao. "Augmented Dickey - Fuller Unit Root Test for Household Saving." Asian Journal of Research in Banking and Finance 5, no. 8 (2015): 64. http://dx.doi.org/10.5958/2249-7323.2015.00101.7.

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Sephton, Peter S. "Critical values of the augmented fractional Dickey–Fuller test." Empirical Economics 35, no. 3 (2008): 437–50. http://dx.doi.org/10.1007/s00181-007-0171-0.

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Deng, Lu. "Augmented Dickey-Fuller Test and the Lag Length Selection Problem." Applied Mechanics and Materials 130-134 (October 2011): 3019–22. http://dx.doi.org/10.4028/www.scientific.net/amm.130-134.3019.

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Many studies indicated that ADF test is very sensitive to different leg length selection models. Based on Hall, and Ng, Perron’s works, this article simulates a more general ARIMA(0,1,q) process and compares the influence of different selection methods to the size and power of the ADF test. Finally, it is proved that the Modified Information Criteria always shows a more proper size and the General to Special Criteria has more robust ADF test properties.
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Harris, R. I. D. "Testing for unit roots using the augmented Dickey-Fuller test." Economics Letters 38, no. 4 (1992): 381–86. http://dx.doi.org/10.1016/0165-1765(92)90022-q.

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Akbar, Shahid, Maria Idrees, and Mubasher Ali. "Identifying Bubbles in Electricity Prices during COVID-19: A Case Study of Italian Electricity Prices." Journal of Social Sciences and Economics 3, no. 2 (2024): 259–67. https://doi.org/10.61363/ex92qk79.

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The main objective of this study is to identify whether there exists explosive behavior in Italian electricity prices or not by considering the data from January 2020 to December 2021. To achieve this, three econometric methods have been utilized which are developed to detect bubbles. These methods are: right tail Augmented Dickey Fuller (ADF) test, Sequential Augmented Dickey Fuller (SADF) test and generalized sup Augmented Dickey Fuller (GSADF) test. ADF test detected no explosive behavior in Italian electricity prices while both SADF and GSADF tests have revealed presence of explosive behav
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Anggraini, Try Beta, and Yefriza Yefriza. "NILAI TUKAR RUPIAH DAN NET EKSPOR INDONESIA 2000 – 2017 (GRANGER CAUSALITY TEST)." Convergence: The Journal of Economic Development 1, no. 1 (2020): 9–24. http://dx.doi.org/10.33369/convergence-jep.v1i1.10854.

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The aims of this research is to find out the relationship of rupiah exchange rate and net export Indonesia. This research covers the periode for 2000.Q1-2017.Q4, used secondary data which were analyzed using Granger Causality Test and Augmented Dickey Fuller (ADF) and existing data processed by using computer program of Eviews 9.0. The stationary properties of the time series data are examined by using Augmented Dickey-Fuller (ADF) test. Granger Causality test is applied to find out long-run relationship along with causality among the variables. The result of the data analysis show that there
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Dissertations / Theses on the topic "Augmented Dickey Fuller test"

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Ferreira, Marcos Souza. "Bubble detection in Brazil’s stock market: application of the generalized superior augmented Dickey-Fuller test." reponame:Repositório Institucional do FGV, 2016. http://hdl.handle.net/10438/16704.

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Submitted by Marcos Souza Ferreira (mferreira@poli.ufrj.br) on 2016-07-27T13:57:40Z No. of bitstreams: 1 FERREIRA M - BUBBLE DETECTION IN BRAZILS STOCK MARKET.pdf: 405486 bytes, checksum: 54cd37d39ac7269f0a808b0e73addedb (MD5)<br>Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Marcos, boa tarde Por gentileza, verificar a numeração das páginas. Está correto, elas aparecerem a partir da Introdução, porém, não deve se iniciar pela página 1. Por exemplo, se a Introdução é na página 11, incluir a partir da página 11. Em seguida submeter novamente o arquivo. Att on 20
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Jurvelin, Olsson Mikael, and Andreas Hild. "Pairs Trading, Cryptocurrencies and Cointegration : A Performance Comparison of Pairs Trading Portfolios of Cryptocurrencies Formed Through the Augmented Dickey Fuller Test, Johansen’s Test and Phillips Perron’s Test." Thesis, Uppsala universitet, Statistiska institutionen, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-385484.

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This thesis analyzes the performance and process of constructing portfolios of cryptocurrency pairs based on cointegrated relationships indicated by the Augmented Dickey-Fuller test, Johansen’s test and Phillips Peron’s test. Pairs are tested for cointegration over a 3-month and a 6-month window and then traded over a trading window of the same length. The cryptocurrencies included in the study are 14 cryptocurrencies with the highest market capitalization on April 24th 2019. One trading strategy has been applied on every portfolio following the 3-month and the 6-month methodology with thresho
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Basoglu, Fatma. "Testing For Rational Bubbles In The Turkish Stock Market." Master's thesis, METU, 2012. http://etd.lib.metu.edu.tr/upload/12614505/index.pdf.

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In this thesis we empirically examine whether the Turkish stock market is driven by rational bubbles over the period between March 1990 and February 2012. The bubble periods are estimated using a recently developed right-tailed unit root test, the generalized sup augmented Dickey-Fuller test of Phillips, Shi and Yu (2011a). Applying their bubble detection and location strategies to weekly price dividend ratio series, we find strong evidence for the existence of rational bubbles in the Turkish stock market benchmark indices as well as sector indices. Our located bubble periods may give early w
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Mattsson, Henrik, and Jonas Vikström. "Currency Future Efficiency : Do Currency Futures Predict Future Spot Exchange Rates?" Thesis, Umeå universitet, Handelshögskolan vid Umeå universitet, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-45940.

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This paper has tested the efficiency, weak form according to EMH, of the currency future market. The efficiency test has been incorporated in the research question since the market has to be efficient in order for the future to work as predictor of the future spot rate - Can currency futures be used as a tool for predicting futures spot exchange rate? The two sub questions are - Is the prediction power of currency futures stable over time and is the prediction power of currency futures similar for different currencies?   The main theory in the research is the Efficient Market Hypothesis and th
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Cordeiro, Clara Maria Henrique. "Métodos de reamostragem em modelos de previsão." Doctoral thesis, ISA/UTL, 2011. http://hdl.handle.net/10400.5/3866.

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Doutoramento em Matemática e Estatística - Instituto Superior de Agronomia<br>The study of a time series has forecasting as one of its primary objectives. Exponential smoothing methods (EXPOS) stand out due to their versatility in the wide choice of models that they include. The widespread dissemination makes them the most widely used methods of modeling and forecasting in time series. An area that has given great support to the statistical inference is computational statistics, specifically the bootstrap methodology. In time series that methodology is most frequently used through the re
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Freitas, Leonardo Ribeiro de. "Elasticidade-PIB do Imposto de Renda Pessoa Física e Jurídica." Universidade do Estado do Rio de Janeiro, 2012. http://www.bdtd.uerj.br/tde_busca/arquivo.php?codArquivo=6021.

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O objetivo específico da presente dissertação é estimar a elasticidade-PIB do Imposto de Renda Pessoa Física (IRPF) e Imposto Renda Pessoa Jurídica (IRPJ) no Brasil entre 1986 e 2012. A pesquisa também incorpora em seus objetivos uma análise técnica a respeito da tributação e seus impactos sobre o sistema econômico, tanto a nível microeconômico e macroeconômico, além de abordar o IRPF e IRPJ em seu aspecto econômico e jurídico. No tratamento metodológico são utilizados modelos de Vetor de Correção de erros (VEC) para estimar as elasticidades-PIB do IRPF e IRPJ. Os resultados apontam uma elasti
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Karangwa, Innocent. "Comparing South African financial markets behaviour to the geometric Brownian Motion Process." Thesis, University of the Western Cape, 2008. http://etd.uwc.ac.za/index.php?module=etd&action=viewtitle&id=gen8Srv25Nme4_4787_1363778247.

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<p>This study examines the behaviour of the South African financial markets with regards to the Geometric Brownian motion process. It uses the daily, weekly, and monthly stock returns time series of some major securities trading in the South African financial market, more specifically the US dollar/Euro, JSE ALSI Total Returns Index, South African All Bond Index, Anglo American Corporation, Standard Bank, Sasol, US dollar Gold Price , Brent spot oil price, and South African white maize near future. The assumptions underlying the&nbsp<br>Geometric Brownian motion in finance, namely the stationa
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Chuang, Chien-Min, and 莊建民. "The Asymptotic Distribution of the Augmented Dickey-Fuller t Test under a Generally Fractionally-Integrated Process." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/42184120549188372665.

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碩士<br>國立中山大學<br>經濟學研究所<br>92<br>In this paper, we derive the asymptotic distribution of the Augmented Dickey-Fuller t Test statistics, t_{ADF}, against a generalized fractional integrated process (for example: ARFIMA(p,1+d,q) ,|d|<1/2,and p, q be positive integer) by using the propositions of Lee and Shie (2003). Then we discuss why the power decreases with the increasing lags in the same and large enough sample size T when d is unequal to 0. We also get that the estimator of the disturbance''s variance, S^2, has slightly increasing bias with increasing k. Finally, we support the conclusion b
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Jordan, Lisa Marie. "Can recent property price dynamics still be justified by fundamentals or are they indicating house price bubbles?" Master's thesis, 2018. http://hdl.handle.net/10362/36374.

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have fueled the analysis of property price determinants. Using a Fixed Effects model, we analyze to what extent fundamental factors, such as macroeconomic, demographic or real estate market conditions, influence the evolution of housing prices in 15 OECD economies over the period 1970-2016. In the second part of this work, a Rolling Augmented Dickey-Fuller test was applied with the objective of providing evidence for potential bubbles in these OECD countries.
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Σαλαμαλίκη, Παρασκευή. "Μελέτες στην εφαρμοσμένη μακροοικονομετρία : Αιτιότητα κατά Granger σε πολλαπλούς ορίζοντες και μη-γραμμικές τάσεις σε μακροοικονομικές χρονολογικές σειρές". Thesis, 2013. http://hdl.handle.net/10889/6542.

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Η παρούσα διατριβή ασχολείται με δύο ιδιαιτέρως σημαντικά και διαχρονικά επίκαιρα ζητήματα στην ανάλυση χρονολογικών σειρών, τα οποία εντάσσονται, υπό ευρεία έννοια, στο πεδίο της Μακροοικονομετρίας. Ειδικότερα, μελετώνται θέματα και μεθοδολογίες ή τεχνικές ιδιαίτερα χρήσιμες για εκείνους τους ερευνητές, οι οποίοι επικεντρώνονται στην ανάλυση της συμπεριφοράς των συναθροιστικών (aggregate) μεγεθών της οικονομίας, βασιζόμενοι στη χρήση δεδομένων χρονοσειρών ή πιο απλά χρονοσειρές (time series). Το πρώτο ζήτημα αφορά στη μελέτη της δυναμικής αλληλεξάρτησης ανάμεσα σε μακροοικονομικές μεταβλ
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Book chapters on the topic "Augmented Dickey Fuller test"

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Tserkezos, Dikaios. "The Effects of Temporal Aggregation and Random Sampling on the Power of the Augmented Dickey Fuller Stationarity Test: A Monte Carlo Study." In Money, Trade and Finance. Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-73219-6_11.

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Özdemir, Hüseyin. "Price Bubble in the Turkish Stock Market during Pre- and Post-Covid: Evidence from the SADF and GSADF Test." In Finansal Piyasaların Evrimi IV. Özgür Yayınları, 2023. http://dx.doi.org/10.58830/ozgur.pub395.c1722.

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The study examines the possibility of a stock market price bubble in four sub-sector stock indices (financial, industrial, service, and technology) and the BIST 100 composite index in Turkey by using the monthly data spans from 2000 to 2023. To capture the irrational prosperity in Turkish stock markets, we employ the supremum augmented Dickey-Fuller (SADF) and the generalized supremum augmented Dickey-Fuller (GSADF) methodologies. Our primary focus is on the construction of price bubbles, particularly in the aftermath of the COVID-19 pandemic. Presently, there are ongoing and intense discussio
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Taşdemir, Fatma Dila. "A Causality Analysis of Economic Growth and Primary Energy Supply in Türkiye's Economy." In Advances in Finance, Accounting, and Economics. IGI Global, 2023. http://dx.doi.org/10.4018/979-8-3693-0400-6.ch007.

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Energy is an important input for economic growth and development of countries. The concepts of energy and economic growth have been prominent topics for economics literature and policy makers for many years. In this note, the existence and the direction of causality between primary energy supply (PES) and gross domestic products (GDP) for Türkiye's economy is examined using data for the period 1970-2021. The variables are subjected to augmented Dickey-Fuller and Phillips-Perron unit root tests, and then the Toda-Yamamoto causality test is performed to determine the direction of causality. Base
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Yıldız, Furkan. "Globalization, International Trade, and CO2 Convergence." In Handbook of Research on the Empirical Aspects of Strategic Trade Negotiations and Management. IGI Global, 2021. http://dx.doi.org/10.4018/978-1-7998-7568-0.ch003.

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The goal of this study is to investigate the potential effects of international trade on per-capita CO2 emissions among trade partners. To achieve this purpose, the Group of Seven (G7) countries and each of their developing trade-partner countries with the highest trade volume have been selected as the sample. The stochastic convergence methodology has been employed using Augmented Dickey Fuller (ADF), Phillips-Perron (PP), and Enders-Lee Fourier unit root tests in order to test for convergence or divergence. Various results have been obtained from the unit root tests. These results suggest in
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Dinç, Dilek Temiz, and Aytaç Gökmen. "The Effect of Net FDI Inflow on Economic Growth in Turkey." In Advances in Finance, Accounting, and Economics. IGI Global, 2022. http://dx.doi.org/10.4018/978-1-7998-8258-9.ch007.

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Capital is one of the first and foremost requisites of economic development for every country in this world. However, not every country is given abundant capital. Foreign direct investment (FDI) occurs as a good cure to solve capital-related issues. In this study, the net FDI inflow and economic growth correlation was researched in Turkey for the period of 2010:1-2018:3 by employing quarterly data as well as applying the Augmented Dickey Fuller Test (ADF); Phillips-Perron (PP); Kwiatkowski, Phillips, Schmidt, Shin (KPSS); Elliott, Rothenberg, and Stock (ERS) Point Optimal; Ng-Perron Unit Root
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"Analyzing Dynamic Causal Linkages Between Developed Stock Markets of Spain and Canada." In Emerging Research on Monetary Policy, Banking, and Financial Markets. IGI Global, 2019. http://dx.doi.org/10.4018/978-1-5225-9269-3.ch015.

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The main objective of this chapter involves analyzing dynamic causal linkages between developed stock markets of Spain and Canada. The long-run dynamic causal linkages between international stock markets highlight the importance of a functional and stable financial environment. As an explanation based on chaos theory, seemingly insignificant structural imbalances can easily generate dramatic consequences in the context of a globalized and integrated worldwide financial structure. The empirical analysis is based on daily log-returns of selected developed stock markets major indices during the s
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Sood, Rohit, and Karan Jindal. "Revolutionizing Bullion Co-Integration Adaptability Approach." In Revolutionizing the Global Stock Market. IGI Global, 2024. http://dx.doi.org/10.4018/979-8-3693-1758-7.ch010.

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This study examines the relationship between the US and Indian prices of gold and silver. The purpose of the study is to examine the relationship between gold prices of US and India and the relationship between silver prices of US and India by using the data from 2009 to 2019. To achieve the aim of the study various models like Augmented Dickey Fuller Test, Granger Causality Test, and Johansen Cointegration Test are used. Granger Causality Test and Johansen Cointegration Test are used for testing the cointegration and causality between the gold prices of US and India and the silver prices of U
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Gök, Remzi. "Does Contagion Effect of Bubbles and Causality Exist Among Bitcoin, Gold, and Oil Markets?" In Advances in Logistics, Operations, and Management Science. IGI Global, 2022. http://dx.doi.org/10.4018/978-1-6684-5279-0.ch004.

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The author studies the explosive behaviors, causality relationships, and contagion effects between three financial markets using the daily closing prices of Bitcoin, gold, and West Texas Intermediate (WTI) oil prices for a sample period from July 19, 2010 to September 10, 2021. By employing the generalized supremum augmented Dickey-Fuller (GSADF) approach, the author finds significant evidence of bubble explosive behaviors in the Bitcoin and WTI prices—but not in the gold prices—and these periods mostly match with the periods of quantitative easing and financial stress. Besides, the test shows
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"Investigating International Causal Linkages Between Latin European Stock Markets in Terms of Global Financial Crisis." In Emerging Research on Monetary Policy, Banking, and Financial Markets. IGI Global, 2019. http://dx.doi.org/10.4018/978-1-5225-9269-3.ch012.

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The main objective of this chapter is to investigate international causal linkages between selected Latin European stock markets, such as Romania, Spain, and Italy, in terms of global financial crises. Moreover, the structure of this book chapter includes both theoretical developments and new empirical findings. In recent past, the global phenomenon of increasing cointegration, co-movements and financial contagion patterns between developed and emerging stock markets have significantly influenced foreign investment behavior. The global financial crisis has seriously affected the international
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Goel, Nisha, Hima Bindu Kota, Gurinder Singh, Monir Mir, and Bhawna Kumar. "Technological Innovation and Regulation as Determinants of Business Growth." In Technological Innovations for Sustainability and Business Growth. IGI Global, 2020. http://dx.doi.org/10.4018/978-1-5225-9940-1.ch004.

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For growth and survival of the business, technological innovations and regulatory reforms in business are absolutely necessary. Over the years, it has become evident that businesses cannot sustain without innovation and since technology is the major facilitator of innovation, it is imperative to sustain and grow businesses. An easy and encouraging regulatory environment is icing on the cake. Technology in business caused tremendous growth in trade &amp; commerce and business concepts &amp; models were revolutionized as a result of the introduction of technology. This chapter studies the role o
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Conference papers on the topic "Augmented Dickey Fuller test"

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Zhang, Fusheng, Yang Zhao, Shumei Zhang, Wentao Wu, and Chao Tan. "Spacecraft Equipment Health Condition Monitoring Based on Augmented Dickey-Fuller Test and Gaussian Mixture Model." In 2021 IEEE International Conference on Mechatronics and Automation (ICMA). IEEE, 2021. http://dx.doi.org/10.1109/icma52036.2021.9512583.

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Odejobi, O., Phillip Ayoola, M. Abiodun, and M. Abioye. "Performance Evaluation of the Nigerian Petroleum Industry: modular refinery plant alternative." In 2019 African Institute for Science Policy and Innovation International Biennial Conference. Koozakar LLC, 2019. http://dx.doi.org/10.69798/11782243.

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This study monitored the trend and evaluated the performance of the Nigerian Petroleum Industry (NPI) over a period of ten (10) years and also examined oil revenue and its impact on economic growth over a period of twenty-six (26) years. Secondary data on Gross Domestic Product (GDP) was used as a benchmark for economic growth. Oil revenue (OREV) and government expenditure (GEXP) which represented the decision variables were sourced from CBN publications. Advanced econometric techniques such as Augmented Dickey-Fuller Unit Root Test, Johansen Co-integration Test, Vector Error Correction Mechan
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Kuzu, Serdar, and H. Muhammet Kekeç. "Analysis of the Effect of Weighted Average Cost of the CBRT Funding on BIST100 Index, BISTXBANK Index and Exchange Rate." In International Conference on Eurasian Economies. Eurasian Economists Association, 2017. http://dx.doi.org/10.36880/c08.01884.

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This study is found to find out how Weighted Average Funding Cost, which is new policy tool implemented by The Central Bank of Turkey (CBRT) in 2011, weighted average funding cost -aiming at removing the ambiguities seen in the financial variables and minimizing the effect of capital movements on these variables is reviewed.&#x0D; In this study, the effects of the interest rate policy of the Central Bank of the Republic of Turkey (CBRT) on BIST100 index, BISTXBANK index and exchange rate are tested by Augmented Dickey Fuller Test (ADF), ML-GARCH and DCC GARCH models based on ENGLE, R.F. and SH
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Uysal, Özgür, and Sultan Sat. "Causality Relationship between Export and Economic Growth: The Case of Russia." In International Conference on Eurasian Economies. Eurasian Economists Association, 2015. http://dx.doi.org/10.36880/c06.01438.

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Nowadays, together with the process of globalization, the relation between export and economic growth has begun to gain importance when decisions regarding economic situation of a country are taken, and when estimations concerning economy are made. The relation between economic growth and export has become one of the most disputable issues of the economic literature. The main objective of this study is to find out the direction of the relation between export and economic growth in Russia. Analysis was performed by using quarterly export and economic growth data of belonging from 1997:01 to 201
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Bozkurt, Gözde, Volkan Öngel, and İsmail Erkan Çelik. "The Situation of the Eurasian Economic Union in Ecological Openness: Fourier Unit Root Test." In International Conference on Eurasian Economies. Eurasian Economists Association, 2024. http://dx.doi.org/10.36880/c16.02949.

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Stationarity analysis, used to discern whether shocks in environmental indicators are temporary or permanent, is crucial for assessing the impacts of environmental policies and devising appropriate strategies for sustainable economic growth. Ecological deficit arises when a community's footprint surpasses its available biological capacity, serving as a comprehensive environmental indicator of demand and supply. In this context, Eurasian economies, with a higher tendency to overlook ecological considerations in growth policies than Western economies, were examined. Data from 1992-2022 for the o
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Bensalma, Ahmed. "New fractional Dickey Fuller test." In 2015 6th International Conference on Modeling, Simulation, and Applied Optimization (ICMSAO). IEEE, 2015. http://dx.doi.org/10.1109/icmsao.2015.7152263.

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Udoudo, Kufre Jerome. "From Reserves to Revenue: The Economic Dynamics of Nigeria's Natural Gas Export from 1999 - 2022." In SPE Nigeria Annual International Conference and Exhibition. SPE, 2024. http://dx.doi.org/10.2118/221649-ms.

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Abstract Nigeria's position as a major participant in the global energy market, especially via its natural gas exports, is crucial in this age of energy transition. Nigeria's enormous natural gas reserves have become an important part of the global gradual shift from conventional fossil fuels towards greener energy sources, providing a cleaner substitute for coal and oil. This study examined the economic impact of Nigeria's natural gas exports from 1999 to 2022, utilizing an Autoregressive Distributed Lag (ARDL) model to provide a detailed analysis. The methodology includes descriptive statist
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Rasanjali, R. P. B., M. D. G. Tharupathi, S. R. J. M. Dharmarathne, M. M. Weerakoon, and T. S. G. Peris. "Forecasting Global Annual Average CO2 Concentrations." In SLIIT INTERNATIONAL CONFERENCE ON ADVANCEMENTS IN SCIENCES AND HUMANITIES. Faculty of Humanities & Sciences, SLIIT, 2024. https://doi.org/10.54389/ncix3883.

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This study aims to enhance the accuracy of CO₂ level forecasts, compare the efficacy of different predictive models, and provide insights for policy development. Employing time series and regression analysis techniques, the study uses historical data from global monitoring stations (1979- 2022) to model the annual mean concentration of atmospheric CO2 The results reveal that the ARIMA (1,1,1) model outperforms the simple linear regression model in predictive accuracy. Nevertheless, the regression model came across a technical problem as residuals are significantly autocorrelated. The Augmented
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Witharana, W. W. S. K., U. K. D. T. N. Udugama, P. M. R. Fernando, H. M. H. Kaumadi, and T. S. G. Peiris. "Forecasting Consumer Price Index in the United States." In SLIIT International Conference on Advancements in Sciences and Humanities 2023. Faculty of Humanities and Sciences, SLIIT, 2023. http://dx.doi.org/10.54389/raqa6627.

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This report presents the Auto-Regressive Integrated Moving Average (ARIMA) model for forecasting the consumer price index (CPI) in US using monthly data from March 2010 to March 2023. The original series was not stationary, but the first difference series was found to be stationary using the Augmented Dicky Fuller test. The best-fitted model was identified based on the significance of the parameters, volatility (sigma2 ), log-likelihood, Akaike, Schwartz, and Hannan Quinn information criterion. Parameters of the fitted model are significantly deviated from zero. The stability of the model has
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10

Jovanovski, Kiril, and Hristina Tanevska. "Information Efficiency in Small and Underdeveloped Financial Market." In 8th International Scientific Conference ERAZ - Knowledge Based Sustainable Development. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2022. http://dx.doi.org/10.31410/eraz.2022.95.

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Testing the efficient market hypothesis can always bring interest­ing points regarding the functions of the financial markets. Every investor wants to beat the market, and therefore he is trying to find information that will gain him some privileges. On the other side, the stock exchanges and reg­ulatory agencies are striving to eliminate those information privileges. This is where market efficiency, its theory, and its forms come into question. Until to­day one can find research on testing the efficiency of different developed mar­kets. However, there are still a lot of gaps in research invol
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