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Abstract. The evaluation of forecast accuracy is one of the key instruments for assessing the reliability and practical value of analytical models applied by various institutions in the field of macroeconomic forecasting...

In the presented paper GARCH class models were considered for describing and forecasting market volatility in context of the economic crisis. The sample composition was designed to emphasize models performance in two gro...

Forecasting vaccine demand and determining inventory policies are critical challenges in healthcare supply chains, where uncertainty poses significant operational risks. This study proposes a two-step data-driven framewo...

Abstract Financial time series forecasting is traditionally based on historical price patterns, often overlooking exogenous and behavioral variables that can significantly affect market movements. In this study, we enhan...

Abstract Carbon markets play a critical role in emission reduction and sustainable economic transition; however, carbon price series exhibit high volatility, nonlinear dynamics, and complex cross-feature interactions, ma...

The main aim of the article is to present a new forecasting technique, applicable in case of intermittent demand. To present properties of this new technique, the accuracy of the predictions generated by the Croston’s ...

Abstract Bunker fuel prices constitute a major component of maritime transport costs, representing 30–70% of total operating expenses and critically influencing competitiveness, planning, and regulatory compliance in g...

Options trading is a type of financial trading that can offer significant profit opportunities depending on market conditions, but its profit and loss structure is complex. Traditional trading decisions are often made ba...

Indonesia's rapid economic development and energy transition goals necessitate accurate long-term electricity demand forecasting to ensure supply security while optimizing infrastructure investments. This study addresses...

Risk analysis in the financial market requires the correct evaluation of volatility in terms of both prices and asset returns. Disturbances in quality of information, the economic and political situation and investment s...

Realizar pronósticos sobre precios resulta muy importante no sólo para la toma de decisiones de un sector productivo, sino también para la elaboración de políticas públicas; ya que permite reducir la incertidumbre ...

The article is devoted to the problem of using the methods of statistical analysis in the financial management processes in the conditions of uncertainty. A review of theoretical studies showed that efficiency of decisio...

Previous article Next article Fractional Brownian Motions, Fractional Noises and ApplicationsBenoit B. Mandelbrot and John W. Van NessBenoit B. Mandelbrot and John W. Van Nesshttps://doi.org/10.1137/1010093PDFBibTexSecti...

Subjects / keywords: Volatility (finance); Economics; Volatility smile; Implied volatility; Volatility swap; Econometrics; Forward volatility; Autoregressive model; Realized variance; Stock (firearms); Stock market volatility; Volatility ris...