Modern Applied Science, ISSN 1913-1844, Vol. 2, No. 2,March 2008
نویسنده
چکیده
ARFIMA models generated an enormous amount of interest in the literature about three decades ago. However, this interest vaned after Granger (1999) showed that an ARFIMA process might have stochastic properties that do not mimic the properties of the data at all. The empirical results of our research in which we used exchange rate data for the analysis, show that a variant of an ARFIMA process indeed can beat the ARFIMA, the Random Walk and the ARMA process of the order one in out of sample forecasting. This indirectly indicates that our variant of the ARFIMA process can be considered as the data generating process for the long memory time series.
منابع مشابه
Modern Applied Science, ISSN 1913-1844, Vol. 2, No. 2,March 2008
How to manage knowledge workers effectively is an important project for most managers. Because of knowledge workers’ different characteristics from common workers, the effective management for them should be based on their unique characteristics. Therefore, a systematic, comprehensive, and pertinent management strategy is necessary.
متن کاملModern Applied Science, ISSN 1913-1844, Vol. 2, No. 1,January 2008
The selection of pull strategy or push strategy for specific products depends on not only the change of demand, but also the importance of scale economy for production and distribution. In fact, almost no complete pull strategy or complete push strategy is adopted from begin to end in practice, and in most cases, the combined push-pull strategy is adopted in a marketing process. This paper will...
متن کاملModern Applied Science, ISSN 1913-1844, Vol. 2, No. 1,January 2008
This paper shows how to generate a birth-death dynamic channel in a laboratory, explain different parameters that are behind or generated by the birth-death behaviour, investigates the effect of the birth-death model on WCDMA receivers, shows how important to pay attention to the channel dynamics by comparing it with static channel behaviour, and shows the effect of different parameters related...
متن کاملModern Applied Science, ISSN 1913-1844, Vol. 1, No. 3, September 2007
In this paper, we consider a new algorithm for a generalized system for relaxed cocoercive nonlinear inequalities in Hilbert spaces by the convergence of projection methods. Our results extend and improve the recent ones announced by many others.
متن کامل