Modeling and forecasting Tapis crude oil price: A long memory approach

This paper proposes a fractional filter and Auto Regressive Fractional Unit Root Integral Moving Average (ARFURIMA) model on daily Malaysian Tapis Crude Oil Price (MTCOP) for the period 4th June 2007 to 29th June 2018. The goodness of fits and dependence tests of each model are discussed. Results in...

Ausführliche Beschreibung

Bibliographische Detailangaben

Hauptverfasser:	Rahman, Rosmanjawati Abdul, Jibrin, Sanusi Alhaji
Format:	Tagungsbericht
Sprache:	eng
Schlagworte:	Crude oil Crude oil prices Dependence Forecasting Integrals International markets Mathematical models
Online-Zugang:	Volltext
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