Temporal Structure in Sensorimotor Variability: A Stable Trait, But What For? [PDF]
Comput Brain Behav, 2023 Perquin MN +3 more
europepmc +1 more source
Analysing CPI inflation by the fractionally integrated ARFIMA-STVGARCH model [PDF]
The aim of this paper is to study the dynamic evolution of inflation rate. The model is constructed by extending the ARFIMA-GARCH to ARFIMA with a time varying GARCH model where the transition from one regime to another is evolving smoothly over time. We
Imene Mootamri +2 more
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Forecasting Time Series with Long Memory and Level Shifts, A Bayesian Approach [PDF]
Recent studies have showed that it is troublesome, in practice, to distinguish between long memory and nonlinear processes. Therefore, it is of obvious interest to try to capture both features of long memory and non-linearity into a single time series ...
Silvestro Di Sanzo
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Forecasting Realized Volatility Using A Nonnegative Semiparametric Model [PDF]
This paper introduces a parsimonious and yet flexible nonnegative semiparametric model to forecast financial volatility. The new model extends the linear nonnegative autoregressive model of Barndorff-Nielsen & Shephard (2001) and Nielsen & Shephard (2003)
Anders ERIKSSON, Daniel PREVE, Jun YU
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Pandemic episodes, CO2 emissions and global temperatures. [PDF]
Theor Appl Climatol, 2022 Monge M, Gil-Alana LA.
europepmc +1 more source
Long Memory in Time Series of Economic Growth and Convergence [PDF]
not availableeconomics of technology ;
Silverberg,Gerald, Verspagen,Bart
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Forecasting commodity prices: empirical evidence using deep learning tools. [PDF]
Ann Oper Res, 2023 Ben Ameur H +4 more
europepmc +1 more source
Long Memory in Import and Export Price Inflation and Persistence of Shocks to the Terms of Trade [PDF]
Long memory models have been successfully used to investigate the dynamic time-series behavior of inflation rates based on the CPI and WPI. However, almost no attention has been paid to import and export price inflation, nor to the terms of trade which ...
G. K. Randolph TAN
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On the relationship between Bitcoin and other assets during the outbreak of coronavirus: Evidence from fractional cointegration analysis. [PDF]
Resour Policy, 2022 Bejaoui A, Mgadmi N, Moussa W.
europepmc +1 more source
A Complete Asymptotic Series for the Autocovariance Function of a Long Memory Process [PDF]
An infinite-order asymptotic expansion is given for the autocovariance function of a general stationary long-memory process with memory parameter d in (-1/2,1/2).
Offer Lieberman, Peter C.B. Phillips
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