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Keywords: ARIMA models
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Journal Articles
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2020) 37 (2): 267–292.
Published: 27 September 2019
... and calibration. The latter is performed by replacing the standard Brownian motion process in the random term of the model with normally distributed standardized residuals of the “optimal” autoregressive integrated moving average (ARIMA) model. Findings The suggested model is quite powerful for the following...
