Results 181 to 190 of about 2,441 (205)

Estimation and testing of ARFIMA models in the real exchange rate

International Journal of Finance & Economics, 2002
AbstractThe Purchasing Power Parity (PPP) hypothesis is one of the most important theoretical relationships in international economics. However, its empirical support remains controversial. We propose an alternative way of modelling the real exchange rate in five industrialized countries in relation to the US dollar, by means of fractionally integrated
GIL-ALANA, Luis A., TORO, Juan
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ESTIMATION OF PARAMETERS IN ARFIMA PROCESSES: A SIMULATION STUDY

Communications in Statistics: Simulation and Computation, 2001
It is known that, in the presence of short memory components, the estimation of the fractional parameter d in an Autoregressive Fractionally Integrated Moving Average, ARFIMA(p, d, q), process has some difficulties (see [1]). In this paper, we continue the efforts made by Smith et al. [1] and Beveridge and Oickle [2] by conducting a simulation study to
Valderio Reisen, Bovas Abraham, Silvia Lopes   +2 more
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On the Spectral Density of the Modified-ARFIMA Model

Journal of Chartered Institute of Statisticians of Nigeria
This study develops the Modified-ARFIMA Model and its spectral density for a recursive sequence differencing operator that can handle large data in time series that have long memory characteristics.
A. Bello, M. Tasi’u, H. G. Dikko, B. B. Alhaji   +3 more
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Calculating and analyzing impulse responses for the vector ARFIMA model

Economics Letters, 2001
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DIFFERENTIAL GEOMETRY OFARFIMAPROCESSES

Communications in Statistics - Theory and Methods, 2001
Autoregressive fractionally integrated moving average (ARFIMA) processes are widely used for modeling time series exhibiting both long-memory and short-memory behavior. Properties of Toeplitz matrices associated with the spectral density functions of Gaussian ARFIMAprocesses are used to compute differential geometric quantities.
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Adaptive ARFIMA Models of Inflation

SSRN Electronic Journal, 2011
Claudio Morana, Richard Baillie
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Spectral Methods for Fractional Arfima Processes

2002
Nel presente lavoro, nella finalità di stimare il parametro di lunga memoria di un processo ARIMA frazionale, ci si avvale di metodologie basate sulla decomposizione ortogonale del processo temporale. In particolare si propone un’integrazione dell’analisi di Fourier con l’espansione di Karhunen-Loève e con la trasformata discreta wavelet al fine di ...
COLI, Mauro, FONTANELLA, Lara, GRANTURCO M.   +2 more
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Testing for threshold effect in ARFIMA models: Application to US unemployment rate data

International Journal of Forecasting, 2009
Olivier Scaillet
exaly  

An Evaluation of ARFIMA (Autoregressive Fractional Integral Moving Average) Programs

Axioms, 2017
Yangquan Chen
exaly  

Identification and validation of stable ARFIMA processes with application to UMTS data

Chaos, Solitons and Fractals, 2017
Krzysztof Burnecki, Grzegorz Sikora
exaly