Comparing the accuracy of the model Meta heuristic and Econometric in forecasting of financial time series with long-term memory (Case Study, Stock Index of Cement Industry in Iran)
Data with high frequency have a particular type of none stationary that is called fractional none stationary. This property causes the emergence of long-term memory in financial time series with high frequency. The existence of long-term memory in cement industry time-series is studied in this paper...
Main Authors: | Farnaz Barzinpour, Seyed Babak Ebrahimi, Seyed Mohammad Hasheminejad, Hamed Nasr Esfahani |
---|---|
Format: | Article |
Language: | fas |
Published: |
University of Tehran
2011-08-01
|
Series: | تحقیقات مالی |
Subjects: | |
Online Access: | https://jfr.ut.ac.ir/article_23824_0f0eb455890465ea9363a902a670cc73.pdf |
Similar Items
-
Inflação inercial como um processo de longa memória: análise a partir de um modelo Arfima-Figarch
by: Erik Alencar de Figueiredo, et al.
Published: (2009-06-01) -
İKİLİ UZUN HAFIZADA ASİMETRİ ETKİSİ: BİST BANKA ÖRNEĞİ
by: İsmail Çelik, et al.
Published: (2019-04-01) -
INTERNATIONAL TOURIST ARRIVALS IN THAILAND: FORECASTING WITH ARFIMA-FIGARCH APPROACH
by: KANCHANA CHOKETHAWORN, et al.
Published: (2010-01-01) -
Long Memory Analysis: An Empirical Investigation
by: Rafik Nazarian, et al.
Published: (2014-03-01) -
Multivariate FIGARCH and long memory process: evidence of oil price markets
by: Nadhem Selmi, et al.
Published: (2015-09-01)