نتایج جستجو برای: Forecasting Performance

تعداد نتایج: 1085145  

Journal: :تحقیقات اقتصادی 0
علیرضا عرفانی دانشگاه سمنان

in this paper we investigate the long memory of tehran securities price index and fit arfima model using 970 daily data since 1382/1/6 until 1386/4/17. furthermore, we compare the forecasting performance of arfima and arima models. the results show that the series is a long memory one and therefore it can become stationary by fractional differencing. we obtaine the fractional differencing param...

Journal: :international journal of supply and operations management 2014
liangping wu jian zhang

three combination methods commonly used in tourism forecasting are the simple average method, the variance-covariance method and the discounted msfe method. these methods assign the different weights that can not change at each time point to each individual forecasting model. in this study, we introduce the iowga operator combination method which can overcome the defect of previous three combin...

2016
Helena Bantulà Sergio I. Giraldo Rafael Ramírez

Computational expressive music performance studies the analysis and characterisation of the deviations that a musician introduces when performing a musical piece. It has been studied in a classical context where timing and dynamic deviations are modeled using machine learning techniques. In jazz music, work has been done previously on the study of ornament prediction in guitar performance, as w...

Journal: Iranian Economic Review 2019

I n this paper, we specify that the GARCH(1,1) model has strong forecasting volatility and its usage under the truncated standard normal distribution (TSND) is more suitable than when it is under the normal and student-t distributions. On the contrary, no comparison was tried between the forecasting performance of volatility of the daily return series using the multi-step ahead forec...

Three combination methods commonly used in tourism forecasting are the simple average method, the variance-covariance method and the discounted MSFE method. These methods assign the different weights that can not change at each time point to each individual forecasting model. In this study, we introduce the IOWGA operator combination method which can overcome the defect of previous three combin...

Journal: :iranian journal of fuzzy systems 2014
ruey-chyn tsaur

in this paper, we propose a new residual analysis method using fourier series transform into fuzzy time series model for improving the forecasting performance. this hybrid model takes advantage of the high predictable power of fuzzy time series model and fourier series transform to fit the estimated residuals into frequency spectra, select the low-frequency terms, filter out high-frequency term...

Journal: :international journal of business and development studies 0

this paper attempts to compare the forecasting performance of the arima model and hybrid arma-garch models by using daily data of the iran’s exchange rate against the u.s. dollar (irr/usd) for the period of 20 march 2014 to 20 june 2015. the period of 20 march 2014 to 19 april 2015 was used to build the model while remaining data were used to do out of sample forecasting and check the forecasti...

In this paper, we propose a new residual analysis method using Fourier series transform into fuzzy time series model for improving the forecasting performance. This hybrid model takes advantage of the high predictable power of fuzzy time series model and Fourier series transform to fit the estimated residuals into frequency spectra, select the low-frequency terms, filter out high-frequency term...

Journal: :تحقیقات مالی 0
رضا تهرانی دانشیار دانشکده مدیریت دانشگاه تهران، ایران شاپور محمدی عضو هیئت علمی دانشکده مدیریت دانشگاه تهران، ایران محمدرضا پورابراهیمی دانشجوی دوره دکترای مدیریت مالی دانشکده مدیریت دانشگاه تهران، ایران

modeling and forecasting the volatility of tehran exchange dividend price index (tedpix) the present research, analyses the forecasting performance of a variety of conditional and non-conditional models of tedpix volatility at the daily frequencies performance criterion namely the root mean square error (rmse). under rmse, results show ma250 and cgarch models had better performance between non ...

Journal: :مهندسی صنایع 0
مهدی خاشعی مهندسی صنایع مهدی بیجاری مهندسی صنایع غلامعلی رئیسی اردلی مهندسی صنایع

time series forecasting is an active research area that has drawn considerable attention for applications in a variety of areas. forecasting accuracy is one of the most important features of forecasting models. nowadays, despite the numerous time series forecasting models which have been proposed in several past decades, it is widely recognized that financial markets are extremely difficult to ...

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