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Neural ARFIMA model for forecasting BRIC exchange rates with long memory

econ.EM · 2025-09-08 · unverdicted · novelty 5.0

NARFIMA integrates ARFIMA long memory with neural networks and exogenous variables to forecast BRIC exchange rates, establishes asymptotic stationarity, uses conformal prediction for uncertainty, and outperforms benchmarks empirically.

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