Mostrar el registro sencillo del ítem

A Fractional ARIMA (ARFIMA) Model in the Analysis of Historical Crude Oil Prices.

dc.contributor.authorMonge Moreno, Manuel 
dc.contributor.authorInfante, Juan
dc.date.accessioned2024-03-01T15:58:59Z
dc.date.available2024-03-01T15:58:59Z
dc.date.issued2023
dc.identifier.issn2652-6433
dc.identifier.urihttps://hdl.handle.net/10641/4196
dc.description.abstractWe investigate historical data for crude oil prices using autoregressive fractionally integrated moving average (ARFIMA) models to determine whether shocks in the series have transitory or permanent effects. Our best specification is an ARFIMA(2,d,2) with an estimated value of d around 0.4, but its confidence interval is wide and does not allow us to either reject the I(0) or the I(1) hypotheses. This high level of uncertainty may be due to the presence of breaks or non-linear trends in the data.spa
dc.language.isoengspa
dc.publisherEnergy research lettersspa
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.titleA Fractional ARIMA (ARFIMA) Model in the Analysis of Historical Crude Oil Prices.spa
dc.typejournal articlespa
dc.type.hasVersionAMspa
dc.rights.accessRightsopen accessspa
dc.description.extent198 KBspa
dc.identifier.doi10.46557/001c.36578spa
dc.relation.publisherversionhttps://erl.scholasticahq.com/article/36578spa


Ficheros en el ítem

FicherosTamañoFormatoVer
36578-a-fractional-arima-arfim ...197.3KbPDFVer/

Este ítem aparece en la(s) siguiente(s) colección(ones)

Mostrar el registro sencillo del ítem

Atribución-NoComercial-SinDerivadas 3.0 España
Excepto si se señala otra cosa, la licencia del ítem se describe como Atribución-NoComercial-SinDerivadas 3.0 España