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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Neural ARFIMA model for forecasting BRIC exchange rates with long memory
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.