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You searched for subject:( ARFIMA ). Showing records 1 – 20 of 20 total matches.

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1. Gustavo de Carvalho Lana. Intervalos de previsão em modelos ARFIMA utilizando a metodologia Bootstrap.

Degree: 2012, Universidade Federal de Minas Gerais; UFMG

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Os métodos… (more)

Subjects/Keywords: Previsão bootstrap; Modelo arfima; Estimadores; Estatistica

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APA (6th Edition):

Lana, G. d. C. (2012). Intervalos de previsão em modelos ARFIMA utilizando a metodologia Bootstrap. (Masters Thesis). Universidade Federal de Minas Gerais; UFMG. Retrieved from http://hdl.handle.net/1843/ICED-8TFHJ5

Chicago Manual of Style (16th Edition):

Lana, Gustavo de Carvalho. “Intervalos de previsão em modelos ARFIMA utilizando a metodologia Bootstrap.” 2012. Masters Thesis, Universidade Federal de Minas Gerais; UFMG. Accessed April 18, 2021. http://hdl.handle.net/1843/ICED-8TFHJ5.

MLA Handbook (7th Edition):

Lana, Gustavo de Carvalho. “Intervalos de previsão em modelos ARFIMA utilizando a metodologia Bootstrap.” 2012. Web. 18 Apr 2021.

Vancouver:

Lana GdC. Intervalos de previsão em modelos ARFIMA utilizando a metodologia Bootstrap. [Internet] [Masters thesis]. Universidade Federal de Minas Gerais; UFMG; 2012. [cited 2021 Apr 18]. Available from: http://hdl.handle.net/1843/ICED-8TFHJ5.

Council of Science Editors:

Lana GdC. Intervalos de previsão em modelos ARFIMA utilizando a metodologia Bootstrap. [Masters Thesis]. Universidade Federal de Minas Gerais; UFMG; 2012. Available from: http://hdl.handle.net/1843/ICED-8TFHJ5

2. Gabriel Bruno de Lemos. Precificação de derivativos climáticos no Brasil: uma abordagem estatística alternativa e construção de um algoritmo em R.

Degree: 2014, University of São Paulo

Muitos negócios possuem exposição às variações climáticas e com poucas alternativas para mitigar este tipo de risco. Nos últimos 20 anos o mercado de derivativos… (more)

Subjects/Keywords: ARFIMA; Derivativos climáticos; Estação meteorológica; LOESS; ARFIMA; LOESS; Weather derivatives; Weather stations

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APA (6th Edition):

Lemos, G. B. d. (2014). Precificação de derivativos climáticos no Brasil: uma abordagem estatística alternativa e construção de um algoritmo em R. (Masters Thesis). University of São Paulo. Retrieved from http://www.teses.usp.br/teses/disponiveis/11/11134/tde-07042014-172230/

Chicago Manual of Style (16th Edition):

Lemos, Gabriel Bruno de. “Precificação de derivativos climáticos no Brasil: uma abordagem estatística alternativa e construção de um algoritmo em R.” 2014. Masters Thesis, University of São Paulo. Accessed April 18, 2021. http://www.teses.usp.br/teses/disponiveis/11/11134/tde-07042014-172230/.

MLA Handbook (7th Edition):

Lemos, Gabriel Bruno de. “Precificação de derivativos climáticos no Brasil: uma abordagem estatística alternativa e construção de um algoritmo em R.” 2014. Web. 18 Apr 2021.

Vancouver:

Lemos GBd. Precificação de derivativos climáticos no Brasil: uma abordagem estatística alternativa e construção de um algoritmo em R. [Internet] [Masters thesis]. University of São Paulo; 2014. [cited 2021 Apr 18]. Available from: http://www.teses.usp.br/teses/disponiveis/11/11134/tde-07042014-172230/.

Council of Science Editors:

Lemos GBd. Precificação de derivativos climáticos no Brasil: uma abordagem estatística alternativa e construção de um algoritmo em R. [Masters Thesis]. University of São Paulo; 2014. Available from: http://www.teses.usp.br/teses/disponiveis/11/11134/tde-07042014-172230/

3. Gabriel Tambarussi Avancini. Estudo da volatilidade da série de preços da soja por meio de modelos GARCH e modelos ARFIMA.

Degree: 2015, University of São Paulo

O objetivo deste trabalho foi estudar o comportamento da volatilidade do preço da soja negociada em contratos futuros na BM&FBOVESPA (série SFI). O estudo foi… (more)

Subjects/Keywords: ARFIMA; GARCH; Memória longa; Retornos; Retornos absolutos; Volatilidade; Absolut asset returns; ARFIMA; Asset returns; GARCH; Long memory; Volatility

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APA (6th Edition):

Avancini, G. T. (2015). Estudo da volatilidade da série de preços da soja por meio de modelos GARCH e modelos ARFIMA. (Masters Thesis). University of São Paulo. Retrieved from http://www.teses.usp.br/teses/disponiveis/11/11134/tde-22042015-174305/

Chicago Manual of Style (16th Edition):

Avancini, Gabriel Tambarussi. “Estudo da volatilidade da série de preços da soja por meio de modelos GARCH e modelos ARFIMA.” 2015. Masters Thesis, University of São Paulo. Accessed April 18, 2021. http://www.teses.usp.br/teses/disponiveis/11/11134/tde-22042015-174305/.

MLA Handbook (7th Edition):

Avancini, Gabriel Tambarussi. “Estudo da volatilidade da série de preços da soja por meio de modelos GARCH e modelos ARFIMA.” 2015. Web. 18 Apr 2021.

Vancouver:

Avancini GT. Estudo da volatilidade da série de preços da soja por meio de modelos GARCH e modelos ARFIMA. [Internet] [Masters thesis]. University of São Paulo; 2015. [cited 2021 Apr 18]. Available from: http://www.teses.usp.br/teses/disponiveis/11/11134/tde-22042015-174305/.

Council of Science Editors:

Avancini GT. Estudo da volatilidade da série de preços da soja por meio de modelos GARCH e modelos ARFIMA. [Masters Thesis]. University of São Paulo; 2015. Available from: http://www.teses.usp.br/teses/disponiveis/11/11134/tde-22042015-174305/


Uniwersytet im. Adama Mickiewicza w Poznaniu

4. Buszkowska-Khemissi, Eliza. Wybór najlepszych prognostycznych modeli zmienności finansowych szeregów czasowych za pomocą testów statystycznych .

Degree: 2010, Uniwersytet im. Adama Mickiewicza w Poznaniu

 Przy założeniu istnienia podobnej dynamiki rynku można wyróżnić pewne modele typu ARMA-GARCH jako najlepiej prognozujące zmienność indeksu WIG20 i kursów walutowych względem złotego.W hipotezie drugiej… (more)

Subjects/Keywords: zmienność; ARFIMA; GARCH; WIG20

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APA (6th Edition):

Buszkowska-Khemissi, E. (2010). Wybór najlepszych prognostycznych modeli zmienności finansowych szeregów czasowych za pomocą testów statystycznych . (Doctoral Dissertation). Uniwersytet im. Adama Mickiewicza w Poznaniu. Retrieved from http://hdl.handle.net/10593/13056

Chicago Manual of Style (16th Edition):

Buszkowska-Khemissi, Eliza. “Wybór najlepszych prognostycznych modeli zmienności finansowych szeregów czasowych za pomocą testów statystycznych .” 2010. Doctoral Dissertation, Uniwersytet im. Adama Mickiewicza w Poznaniu. Accessed April 18, 2021. http://hdl.handle.net/10593/13056.

MLA Handbook (7th Edition):

Buszkowska-Khemissi, Eliza. “Wybór najlepszych prognostycznych modeli zmienności finansowych szeregów czasowych za pomocą testów statystycznych .” 2010. Web. 18 Apr 2021.

Vancouver:

Buszkowska-Khemissi E. Wybór najlepszych prognostycznych modeli zmienności finansowych szeregów czasowych za pomocą testów statystycznych . [Internet] [Doctoral dissertation]. Uniwersytet im. Adama Mickiewicza w Poznaniu; 2010. [cited 2021 Apr 18]. Available from: http://hdl.handle.net/10593/13056.

Council of Science Editors:

Buszkowska-Khemissi E. Wybór najlepszych prognostycznych modeli zmienności finansowych szeregów czasowych za pomocą testów statystycznych . [Doctoral Dissertation]. Uniwersytet im. Adama Mickiewicza w Poznaniu; 2010. Available from: http://hdl.handle.net/10593/13056

5. dos Santos Gomes, Amanda. Modelagem e previsão da arrecadação do imposto de renda no Brasil.

Degree: 2003, Universidade Federal de Pernambuco

 O objetivo central da presente dissertação é avaliar estratégias univariadas de modelagem e previsão da arrecadação do imposto de renda no Brasil. Ao longo desta… (more)

Subjects/Keywords: Alisamento exponencial; Modelos ARFIMA; Previsões

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APA (6th Edition):

dos Santos Gomes, A. (2003). Modelagem e previsão da arrecadação do imposto de renda no Brasil. (Masters Thesis). Universidade Federal de Pernambuco. Retrieved from https://repositorio.ufpe.br/handle/123456789/6410

Chicago Manual of Style (16th Edition):

dos Santos Gomes, Amanda. “Modelagem e previsão da arrecadação do imposto de renda no Brasil.” 2003. Masters Thesis, Universidade Federal de Pernambuco. Accessed April 18, 2021. https://repositorio.ufpe.br/handle/123456789/6410.

MLA Handbook (7th Edition):

dos Santos Gomes, Amanda. “Modelagem e previsão da arrecadação do imposto de renda no Brasil.” 2003. Web. 18 Apr 2021.

Vancouver:

dos Santos Gomes A. Modelagem e previsão da arrecadação do imposto de renda no Brasil. [Internet] [Masters thesis]. Universidade Federal de Pernambuco; 2003. [cited 2021 Apr 18]. Available from: https://repositorio.ufpe.br/handle/123456789/6410.

Council of Science Editors:

dos Santos Gomes A. Modelagem e previsão da arrecadação do imposto de renda no Brasil. [Masters Thesis]. Universidade Federal de Pernambuco; 2003. Available from: https://repositorio.ufpe.br/handle/123456789/6410


Universidad de Chile

6. Gutiérrez Morales, Humberto Eduardo. Estudio de Geometria Fractal en Roca Fracturada y Series de Tiempo.

Degree: 2008, Universidad de Chile

Subjects/Keywords: Ingeniería; Fractal; Hurst; FGN; Arfima; IFS

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APA (6th Edition):

Gutiérrez Morales, H. E. (2008). Estudio de Geometria Fractal en Roca Fracturada y Series de Tiempo. (Thesis). Universidad de Chile. Retrieved from http://repositorio.uchile.cl/tesis/uchile/2008/gutierrez_h/html/index-frames.html; http://repositorio.uchile.cl/handle/2250/104972

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Gutiérrez Morales, Humberto Eduardo. “Estudio de Geometria Fractal en Roca Fracturada y Series de Tiempo.” 2008. Thesis, Universidad de Chile. Accessed April 18, 2021. http://repositorio.uchile.cl/tesis/uchile/2008/gutierrez_h/html/index-frames.html; http://repositorio.uchile.cl/handle/2250/104972.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Gutiérrez Morales, Humberto Eduardo. “Estudio de Geometria Fractal en Roca Fracturada y Series de Tiempo.” 2008. Web. 18 Apr 2021.

Vancouver:

Gutiérrez Morales HE. Estudio de Geometria Fractal en Roca Fracturada y Series de Tiempo. [Internet] [Thesis]. Universidad de Chile; 2008. [cited 2021 Apr 18]. Available from: http://repositorio.uchile.cl/tesis/uchile/2008/gutierrez_h/html/index-frames.html; http://repositorio.uchile.cl/handle/2250/104972.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Gutiérrez Morales HE. Estudio de Geometria Fractal en Roca Fracturada y Series de Tiempo. [Thesis]. Universidad de Chile; 2008. Available from: http://repositorio.uchile.cl/tesis/uchile/2008/gutierrez_h/html/index-frames.html; http://repositorio.uchile.cl/handle/2250/104972

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Brunel University

7. Omran, Hayan. Examining the relationship between trading volume, market return volatility and U.S. aggregate mutual fund flow.

Degree: PhD, 2016, Brunel University

 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… (more)

Subjects/Keywords: 332.64; Garch (1,1) model; Univariate arfirma-figarch model; Bivariate arfima-figarch model; Causality

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APA (6th Edition):

Omran, H. (2016). Examining the relationship between trading volume, market return volatility and U.S. aggregate mutual fund flow. (Doctoral Dissertation). Brunel University. Retrieved from http://bura.brunel.ac.uk/handle/2438/12848 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.687665

Chicago Manual of Style (16th Edition):

Omran, Hayan. “Examining the relationship between trading volume, market return volatility and U.S. aggregate mutual fund flow.” 2016. Doctoral Dissertation, Brunel University. Accessed April 18, 2021. http://bura.brunel.ac.uk/handle/2438/12848 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.687665.

MLA Handbook (7th Edition):

Omran, Hayan. “Examining the relationship between trading volume, market return volatility and U.S. aggregate mutual fund flow.” 2016. Web. 18 Apr 2021.

Vancouver:

Omran H. Examining the relationship between trading volume, market return volatility and U.S. aggregate mutual fund flow. [Internet] [Doctoral dissertation]. Brunel University; 2016. [cited 2021 Apr 18]. Available from: http://bura.brunel.ac.uk/handle/2438/12848 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.687665.

Council of Science Editors:

Omran H. Examining the relationship between trading volume, market return volatility and U.S. aggregate mutual fund flow. [Doctoral Dissertation]. Brunel University; 2016. Available from: http://bura.brunel.ac.uk/handle/2438/12848 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.687665


NSYSU

8. Chen, Ke-jie. Time Series Analysis with Unsupervised Learning.

Degree: Master, Applied Mathematics, 2018, NSYSU

 This study is divided into two parts to discuss the combination of unsupervised learning and time series analysis. In the first part, we consider the… (more)

Subjects/Keywords: principal component analysis; long short-terms memory network; ARFIMA; B-spline; K-means clustering; hierarchical clustering; non-negative matrix factorization; SARIMA

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APA (6th Edition):

Chen, K. (2018). Time Series Analysis with Unsupervised Learning. (Thesis). NSYSU. Retrieved from http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0617118-151942

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Chen, Ke-jie. “Time Series Analysis with Unsupervised Learning.” 2018. Thesis, NSYSU. Accessed April 18, 2021. http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0617118-151942.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Chen, Ke-jie. “Time Series Analysis with Unsupervised Learning.” 2018. Web. 18 Apr 2021.

Vancouver:

Chen K. Time Series Analysis with Unsupervised Learning. [Internet] [Thesis]. NSYSU; 2018. [cited 2021 Apr 18]. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0617118-151942.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Chen K. Time Series Analysis with Unsupervised Learning. [Thesis]. NSYSU; 2018. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0617118-151942

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Texas A&M University

9. Ko, Kyungduk. Bayesian wavelet approaches for parameter estimation and change point detection in long memory processes.

Degree: PhD, Statistics, 2005, Texas A&M University

 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… (more)

Subjects/Keywords: Long Memory Process; ARFIMA Models; Discrete Wavelet Transform; Bayesian Inference; Reversible Jump MCMC

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APA (6th Edition):

Ko, K. (2005). Bayesian wavelet approaches for parameter estimation and change point detection in long memory processes. (Doctoral Dissertation). Texas A&M University. Retrieved from http://hdl.handle.net/1969.1/2804

Chicago Manual of Style (16th Edition):

Ko, Kyungduk. “Bayesian wavelet approaches for parameter estimation and change point detection in long memory processes.” 2005. Doctoral Dissertation, Texas A&M University. Accessed April 18, 2021. http://hdl.handle.net/1969.1/2804.

MLA Handbook (7th Edition):

Ko, Kyungduk. “Bayesian wavelet approaches for parameter estimation and change point detection in long memory processes.” 2005. Web. 18 Apr 2021.

Vancouver:

Ko K. Bayesian wavelet approaches for parameter estimation and change point detection in long memory processes. [Internet] [Doctoral dissertation]. Texas A&M University; 2005. [cited 2021 Apr 18]. Available from: http://hdl.handle.net/1969.1/2804.

Council of Science Editors:

Ko K. Bayesian wavelet approaches for parameter estimation and change point detection in long memory processes. [Doctoral Dissertation]. Texas A&M University; 2005. Available from: http://hdl.handle.net/1969.1/2804

10. Linhares, Raquel Romes. Propriedades estatísticas do método da análise de flutuações destendenciadas em seqüências de DNA.

Degree: 2007, Brazil

Conforme diversos artigos, as sequênncias de DNA apresentam longa dependência, isto é, mesmo para tempos bastante distantes entre si, a correlação entre as variáveis aleatórias… (more)

Subjects/Keywords: Matematica : Processos estocasticos; Modelos de longa dependencia : Processo arfima; Biologia molecular; Dna : Sequencia

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APA (6th Edition):

Linhares, R. R. (2007). Propriedades estatísticas do método da análise de flutuações destendenciadas em seqüências de DNA. (Masters Thesis). Brazil. Retrieved from http://hdl.handle.net/10183/60535

Chicago Manual of Style (16th Edition):

Linhares, Raquel Romes. “Propriedades estatísticas do método da análise de flutuações destendenciadas em seqüências de DNA.” 2007. Masters Thesis, Brazil. Accessed April 18, 2021. http://hdl.handle.net/10183/60535.

MLA Handbook (7th Edition):

Linhares, Raquel Romes. “Propriedades estatísticas do método da análise de flutuações destendenciadas em seqüências de DNA.” 2007. Web. 18 Apr 2021.

Vancouver:

Linhares RR. Propriedades estatísticas do método da análise de flutuações destendenciadas em seqüências de DNA. [Internet] [Masters thesis]. Brazil; 2007. [cited 2021 Apr 18]. Available from: http://hdl.handle.net/10183/60535.

Council of Science Editors:

Linhares RR. Propriedades estatísticas do método da análise de flutuações destendenciadas em seqüências de DNA. [Masters Thesis]. Brazil; 2007. Available from: http://hdl.handle.net/10183/60535


Pontifical Catholic University of Rio de Janeiro

11. LEONARDO ROCHA SOUZA. [en] THE INFLUENCE OF THE SAMPLING INTERVAL IN THE LONG MEMORY ESTIMATION IN TIME SERIES.

Degree: 2001, Pontifical Catholic University of Rio de Janeiro

[pt] Esta tese de doutorado relaciona a estimação da diferenciação fracionária, como medida de memória longa, com o intervalo de tempo entre observações contíguas de… (more)

Subjects/Keywords: [pt] SERIES TEMPORAIS; [en] TIME SERIES; [es] SERIES DE TIEMPO; [pt] MEMORIA LONGA; [en] LONG MEMORY; [es] MEMORIA LARGA; [pt] MODELOS ARFIMA; [en] ARFIMA MODELS; [es] MODELOS ARFIMA; [pt] TAXA DE AMOSTRAGEM; [en] SAMPLING RATE; [es] TASA DE MUESTREO

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APA (6th Edition):

SOUZA, L. R. (2001). [en] THE INFLUENCE OF THE SAMPLING INTERVAL IN THE LONG MEMORY ESTIMATION IN TIME SERIES. (Thesis). Pontifical Catholic University of Rio de Janeiro. Retrieved from http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=1428

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

SOUZA, LEONARDO ROCHA. “[en] THE INFLUENCE OF THE SAMPLING INTERVAL IN THE LONG MEMORY ESTIMATION IN TIME SERIES.” 2001. Thesis, Pontifical Catholic University of Rio de Janeiro. Accessed April 18, 2021. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=1428.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

SOUZA, LEONARDO ROCHA. “[en] THE INFLUENCE OF THE SAMPLING INTERVAL IN THE LONG MEMORY ESTIMATION IN TIME SERIES.” 2001. Web. 18 Apr 2021.

Vancouver:

SOUZA LR. [en] THE INFLUENCE OF THE SAMPLING INTERVAL IN THE LONG MEMORY ESTIMATION IN TIME SERIES. [Internet] [Thesis]. Pontifical Catholic University of Rio de Janeiro; 2001. [cited 2021 Apr 18]. Available from: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=1428.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

SOUZA LR. [en] THE INFLUENCE OF THE SAMPLING INTERVAL IN THE LONG MEMORY ESTIMATION IN TIME SERIES. [Thesis]. Pontifical Catholic University of Rio de Janeiro; 2001. Available from: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=1428

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

12. Mario Ernesto Piscoya Diaz. Estimação de modelos ARFIMA com quebra estrutural.

Degree: 2006, Universidade Federal de Minas Gerais; UFMG

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Existem evidencias… (more)

Subjects/Keywords: Modelos ARFIMA; estrutural; Longa dependência; Quebra; Ponto de mudança; Estatística; Análise de séries temporais

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APA (6th Edition):

Diaz, M. E. P. (2006). Estimação de modelos ARFIMA com quebra estrutural. (Masters Thesis). Universidade Federal de Minas Gerais; UFMG. Retrieved from http://hdl.handle.net/1843/RFFO-7HZGKU

Chicago Manual of Style (16th Edition):

Diaz, Mario Ernesto Piscoya. “Estimação de modelos ARFIMA com quebra estrutural.” 2006. Masters Thesis, Universidade Federal de Minas Gerais; UFMG. Accessed April 18, 2021. http://hdl.handle.net/1843/RFFO-7HZGKU.

MLA Handbook (7th Edition):

Diaz, Mario Ernesto Piscoya. “Estimação de modelos ARFIMA com quebra estrutural.” 2006. Web. 18 Apr 2021.

Vancouver:

Diaz MEP. Estimação de modelos ARFIMA com quebra estrutural. [Internet] [Masters thesis]. Universidade Federal de Minas Gerais; UFMG; 2006. [cited 2021 Apr 18]. Available from: http://hdl.handle.net/1843/RFFO-7HZGKU.

Council of Science Editors:

Diaz MEP. Estimação de modelos ARFIMA com quebra estrutural. [Masters Thesis]. Universidade Federal de Minas Gerais; UFMG; 2006. Available from: http://hdl.handle.net/1843/RFFO-7HZGKU

13. Nelson Ferreira Fonseca. Estratégias de negociação baseadas na existência de efeito de liderança e defasagem entre o índice bovespa e o índice bovespa futuro utilizando dados de alta frequência.

Degree: 2010, Universidade Federal de Minas Gerais; UFMG

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Este trabalho… (more)

Subjects/Keywords: VECM; ARIMA; VAR; ARFIMA; Ibovespa futuro; Ibovespa;  Mercado de capitais; Ações (Finanças); Investimentos;  Bolsa de Valores de São Paulo

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Fonseca, N. F. (2010). Estratégias de negociação baseadas na existência de efeito de liderança e defasagem entre o índice bovespa e o índice bovespa futuro utilizando dados de alta frequência. (Masters Thesis). Universidade Federal de Minas Gerais; UFMG. Retrieved from http://hdl.handle.net/1843/BUBD-9BFJK2

Chicago Manual of Style (16th Edition):

Fonseca, Nelson Ferreira. “Estratégias de negociação baseadas na existência de efeito de liderança e defasagem entre o índice bovespa e o índice bovespa futuro utilizando dados de alta frequência.” 2010. Masters Thesis, Universidade Federal de Minas Gerais; UFMG. Accessed April 18, 2021. http://hdl.handle.net/1843/BUBD-9BFJK2.

MLA Handbook (7th Edition):

Fonseca, Nelson Ferreira. “Estratégias de negociação baseadas na existência de efeito de liderança e defasagem entre o índice bovespa e o índice bovespa futuro utilizando dados de alta frequência.” 2010. Web. 18 Apr 2021.

Vancouver:

Fonseca NF. Estratégias de negociação baseadas na existência de efeito de liderança e defasagem entre o índice bovespa e o índice bovespa futuro utilizando dados de alta frequência. [Internet] [Masters thesis]. Universidade Federal de Minas Gerais; UFMG; 2010. [cited 2021 Apr 18]. Available from: http://hdl.handle.net/1843/BUBD-9BFJK2.

Council of Science Editors:

Fonseca NF. Estratégias de negociação baseadas na existência de efeito de liderança e defasagem entre o índice bovespa e o índice bovespa futuro utilizando dados de alta frequência. [Masters Thesis]. Universidade Federal de Minas Gerais; UFMG; 2010. Available from: http://hdl.handle.net/1843/BUBD-9BFJK2

14. Santos, Alessandra Gazzoli. Estrutura fractal em séries temporais: uma investigação quanto à hipótese de passeio aleatório no mercado à vista de commodities agrícolas brasileiro.

Degree: 2013, Brazil

As variáveis econômicas são frequentemente governadas por processos dinâmicos e não-lineares que podem gerar relações de dependência de longo prazo e padrões cíclicos não-periódicos com… (more)

Subjects/Keywords: Hipótese de mercados eficientes; Passeio aleatório; Mercados à vista; Commodities agrícolas; Fractais; Leptocurtose; Memória longa; Análise R/S; Autossimilaridade; Modelos fracionalmente integrados; ARFIMA; FIGARCH; Efficient market hypothesis; Random walk; Spot markets; Leptokurtosis; Economia; Economia agrícola - Brasil; Análise de séries temporais; Passeio aleatório (Matemática); Fractais

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Santos, A. G. (2013). Estrutura fractal em séries temporais: uma investigação quanto à hipótese de passeio aleatório no mercado à vista de commodities agrícolas brasileiro. (Masters Thesis). Brazil. Retrieved from http://hdl.handle.net/10438/11121

Chicago Manual of Style (16th Edition):

Santos, Alessandra Gazzoli. “Estrutura fractal em séries temporais: uma investigação quanto à hipótese de passeio aleatório no mercado à vista de commodities agrícolas brasileiro.” 2013. Masters Thesis, Brazil. Accessed April 18, 2021. http://hdl.handle.net/10438/11121.

MLA Handbook (7th Edition):

Santos, Alessandra Gazzoli. “Estrutura fractal em séries temporais: uma investigação quanto à hipótese de passeio aleatório no mercado à vista de commodities agrícolas brasileiro.” 2013. Web. 18 Apr 2021.

Vancouver:

Santos AG. Estrutura fractal em séries temporais: uma investigação quanto à hipótese de passeio aleatório no mercado à vista de commodities agrícolas brasileiro. [Internet] [Masters thesis]. Brazil; 2013. [cited 2021 Apr 18]. Available from: http://hdl.handle.net/10438/11121.

Council of Science Editors:

Santos AG. Estrutura fractal em séries temporais: uma investigação quanto à hipótese de passeio aleatório no mercado à vista de commodities agrícolas brasileiro. [Masters Thesis]. Brazil; 2013. Available from: http://hdl.handle.net/10438/11121

15. Nunes, Marcus Alexandre. Processos estocásticos de longa dependencia com parâmetro fracionário variando no tempo.

Degree: 2008, Brazil

Neste trabalho analisamos processos de longa dependência com parâmetro fracionário variando no tempo. Estes processos exibem dois comportamentos de longa dependência distintos: até uma certa… (more)

Subjects/Keywords: Processos estocasticos; Analise espectral de processos estacionarios; Modelos de longa dependencia : Processo arfima; Análise de séries temporais

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Nunes, M. A. (2008). Processos estocásticos de longa dependencia com parâmetro fracionário variando no tempo. (Masters Thesis). Brazil. Retrieved from http://hdl.handle.net/10183/115527

Chicago Manual of Style (16th Edition):

Nunes, Marcus Alexandre. “Processos estocásticos de longa dependencia com parâmetro fracionário variando no tempo.” 2008. Masters Thesis, Brazil. Accessed April 18, 2021. http://hdl.handle.net/10183/115527.

MLA Handbook (7th Edition):

Nunes, Marcus Alexandre. “Processos estocásticos de longa dependencia com parâmetro fracionário variando no tempo.” 2008. Web. 18 Apr 2021.

Vancouver:

Nunes MA. Processos estocásticos de longa dependencia com parâmetro fracionário variando no tempo. [Internet] [Masters thesis]. Brazil; 2008. [cited 2021 Apr 18]. Available from: http://hdl.handle.net/10183/115527.

Council of Science Editors:

Nunes MA. Processos estocásticos de longa dependencia com parâmetro fracionário variando no tempo. [Masters Thesis]. Brazil; 2008. Available from: http://hdl.handle.net/10183/115527

16. Muller, Daniela. Estimação para os parâmetros de processos estocásticos estacionários com característica de longa dependência.

Degree: 1999, Brazil

Estudos recentes em séries temporais direcionam-se àquelas que apresentam característica de longa dependência, ou seja, séries temporais nas quais a dependência entre observações distantes não… (more)

Subjects/Keywords: Analise de series temporais : Processos estacionarios : Maxima verossimilhanca : Autocorrelacao; Modelos estatisticos : Arma, arima, arfima : Simulacao; Análise espectral

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Muller, D. (1999). Estimação para os parâmetros de processos estocásticos estacionários com característica de longa dependência. (Masters Thesis). Brazil. Retrieved from http://hdl.handle.net/10183/127017

Chicago Manual of Style (16th Edition):

Muller, Daniela. “Estimação para os parâmetros de processos estocásticos estacionários com característica de longa dependência.” 1999. Masters Thesis, Brazil. Accessed April 18, 2021. http://hdl.handle.net/10183/127017.

MLA Handbook (7th Edition):

Muller, Daniela. “Estimação para os parâmetros de processos estocásticos estacionários com característica de longa dependência.” 1999. Web. 18 Apr 2021.

Vancouver:

Muller D. Estimação para os parâmetros de processos estocásticos estacionários com característica de longa dependência. [Internet] [Masters thesis]. Brazil; 1999. [cited 2021 Apr 18]. Available from: http://hdl.handle.net/10183/127017.

Council of Science Editors:

Muller D. Estimação para os parâmetros de processos estocásticos estacionários com característica de longa dependência. [Masters Thesis]. Brazil; 1999. Available from: http://hdl.handle.net/10183/127017

17. Ocker, Rose Marie. A Stochastic Parameter Regression Model for Long Memory Time Series.

Degree: 2014, Boise State University

 In a complex and dynamic world, the assumption that relationships in a system remain constant is not necessarily a well-founded one. Allowing for time-varying parameters… (more)

Subjects/Keywords: long memory time series; time-varying coefficients; ARFIMA process; Kalman Filter; Innovations Algorithm; Longitudinal Data Analysis and Time Series

…Integrated Moving-Average ARFIMA – Autoregressive Fractionally Integrated Moving-Average ACF… …long memory time series is the ARFIMA(p, d, q), or autoregressive fractionally… …integrated moving-average model. The popularity of the ARFIMA(p, d, q) model may lie in… …account for some short memory behavior [10]. It is also common for an ARFIMA process… …x7B; t }. In this case, we often model t as an ARFIMA(p, d, q) process… 

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Ocker, R. M. (2014). A Stochastic Parameter Regression Model for Long Memory Time Series. (Thesis). Boise State University. Retrieved from https://scholarworks.boisestate.edu/td/831

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Ocker, Rose Marie. “A Stochastic Parameter Regression Model for Long Memory Time Series.” 2014. Thesis, Boise State University. Accessed April 18, 2021. https://scholarworks.boisestate.edu/td/831.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Ocker, Rose Marie. “A Stochastic Parameter Regression Model for Long Memory Time Series.” 2014. Web. 18 Apr 2021.

Vancouver:

Ocker RM. A Stochastic Parameter Regression Model for Long Memory Time Series. [Internet] [Thesis]. Boise State University; 2014. [cited 2021 Apr 18]. Available from: https://scholarworks.boisestate.edu/td/831.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Ocker RM. A Stochastic Parameter Regression Model for Long Memory Time Series. [Thesis]. Boise State University; 2014. Available from: https://scholarworks.boisestate.edu/td/831

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Queensland University of Technology

18. Cheng, Teddy Man Lai. Application of filtering theory for optimum strategies in stock market investment.

Degree: 1997, Queensland University of Technology

Subjects/Keywords: Stocks Prices Mathematical models; Investments Mathematical models; Filters (Mathematics); forecast; stock market; Kalman filter; time series; long-memory; short-memory; differencing; fractional differencing; ARMA; ARIMA; ARFIMA; Hurst coefficient; rescale-range; state-space; Whittle estimator; maximum likelihood; fractal; random walk; thesis; masters

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Cheng, T. M. L. (1997). Application of filtering theory for optimum strategies in stock market investment. (Thesis). Queensland University of Technology. Retrieved from http://eprints.qut.edu.au/36039/

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Cheng, Teddy Man Lai. “Application of filtering theory for optimum strategies in stock market investment.” 1997. Thesis, Queensland University of Technology. Accessed April 18, 2021. http://eprints.qut.edu.au/36039/.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Cheng, Teddy Man Lai. “Application of filtering theory for optimum strategies in stock market investment.” 1997. Web. 18 Apr 2021.

Vancouver:

Cheng TML. Application of filtering theory for optimum strategies in stock market investment. [Internet] [Thesis]. Queensland University of Technology; 1997. [cited 2021 Apr 18]. Available from: http://eprints.qut.edu.au/36039/.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Cheng TML. Application of filtering theory for optimum strategies in stock market investment. [Thesis]. Queensland University of Technology; 1997. Available from: http://eprints.qut.edu.au/36039/

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


North-West University

19. Van Heerden, Petrus Marthinus Stephanus. The relationship between the forward– and the realized spot exchange rate in South Africa / Petrus Marthinus Stephanus van Heerden .

Degree: 2010, North-West University

 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… (more)

Subjects/Keywords: Autoregressive conditional heteroskedasticity model (ARCH model); Autoregressive fractionally integrated moving average model (ARFIMA model); Co-integration; Covered interest rate parity; Dual-listed stocks; Exchange rate puzzle; Forward exchange rate; International capital asset pricing model (ICAPM); International equity parity theory; Non-stationary data; Purchasing power parity (PPP); Realized future spot exchange rate; Stationary data; Uncovered interest rate parity; Vector error correction model (VEC model); Autoregressiewe-voorwaardelike-heteroskedastiese modelle; Autoregressiewe-gedeeltelike-geintegreerde-bewegende-gemiddelde modelle; Gedekte-rentekoers-pariteitsteorie; Dubbelgenoteerde aandele; Wisselkoersvraagstuk; Vooruitwisselkoers; Internasionale kapitaalbateprysingsmodel; Internasionale aandelepariteitsteorie; Nie-stasionêre data; Koopkrag pariteit; Gerealiseerde toekomstige loko-wisselkoers; Stasionêre data; Ongedekte rentekoerspariteitsteorie; Vektor-foutaanpassings-model

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Van Heerden, Petrus Marthinus Stephanus. “The relationship between the forward– and the realized spot exchange rate in South Africa / Petrus Marthinus Stephanus van Heerden .” 2010. Thesis, North-West University. Accessed April 18, 2021. http://hdl.handle.net/10394/4511.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Van Heerden, Petrus Marthinus Stephanus. “The relationship between the forward– and the realized spot exchange rate in South Africa / Petrus Marthinus Stephanus van Heerden .” 2010. Web. 18 Apr 2021.

Vancouver:

Van Heerden PMS. The relationship between the forward– and the realized spot exchange rate in South Africa / Petrus Marthinus Stephanus van Heerden . [Internet] [Thesis]. North-West University; 2010. [cited 2021 Apr 18]. Available from: http://hdl.handle.net/10394/4511.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Queens University

20. Shibaev, Sergei. Essays on Regional Recessions, Spatial Interactions and Forecasting .

Degree: Economics, Queens University

 This thesis contains three essays spanning the fields of econometrics and empirical macroeconomics. The first essay develops an econometric procedure that enables applied researchers to… (more)

Subjects/Keywords: Econometrics ; Bayesian Statistics ; Business Cycles ; Endogenous Clustering ; Clustering ; Bayesian ; Regime-switching ; Regional economic analysis ; Spatial Econometrics ; Spatial ; Time Series Econometrics ; Forecasting ; Fractional cointegration ; Fractional integration ; Opinion poll data ; Political Opinion ; Vector Autoregressive Model ; Cointegration ; Spatial Interactions ; Spatial Effects ; Economic Policy ; Elections ; Markov-switching ; Multivariate Econometrics ; FCVAR ; CVAR ; ARIMA ; ARFIMA ; Spatial Autoregressive Models ; Regime-switching models

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Shibaev, S. (n.d.). Essays on Regional Recessions, Spatial Interactions and Forecasting . (Thesis). Queens University. Retrieved from http://hdl.handle.net/1974/15685

Note: this citation may be lacking information needed for this citation format:
No year of publication.
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Shibaev, Sergei. “Essays on Regional Recessions, Spatial Interactions and Forecasting .” Thesis, Queens University. Accessed April 18, 2021. http://hdl.handle.net/1974/15685.

Note: this citation may be lacking information needed for this citation format:
No year of publication.
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Shibaev, Sergei. “Essays on Regional Recessions, Spatial Interactions and Forecasting .” Web. 18 Apr 2021.

Note: this citation may be lacking information needed for this citation format:
No year of publication.

Vancouver:

Shibaev S. Essays on Regional Recessions, Spatial Interactions and Forecasting . [Internet] [Thesis]. Queens University; [cited 2021 Apr 18]. Available from: http://hdl.handle.net/1974/15685.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
No year of publication.

Council of Science Editors:

Shibaev S. Essays on Regional Recessions, Spatial Interactions and Forecasting . [Thesis]. Queens University; Available from: http://hdl.handle.net/1974/15685

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation
No year of publication.

.