Testing and Estimating Persistence in Canadian Unemployment. [PDF]
A vital implication of unemployment persistence applies to the Bank of Canada's disinflation policies since it adversely influences unemployment and considerably lengthens recessions.
Curtis J. Eberwein +2 more
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South African inflation modelling using bootstrapped long short-term memory methods. [PDF]
SN Bus Econ, 2023 Kubheka S.
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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Volatility and Return Transmission among Cement Industry Stock Prices: an Application of Multivariate FIGARCH Modeling in High Frequency Financial time Series [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2011 Long memory in asset returns and volatilities is a new research area, both in theoretical and empirical modeling of high frequent financial time series. The most popular techniques of time series modeling with long memory is the ARFIMA-FIGARCH, but this ...
Gholamreza Keshavarz Haddad +2 more
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Localized Realized Volatility Modelling [PDF]
With the recent availability of high-frequency Financial data the long range dependence of volatility regained researchers' interest and has lead to the consideration of long memory models for realized volatility.
Uta Pigorsch +2 more
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An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series [PDF]
, 2004 This paper addresses the notion that many fractional I(d) processes may fall into the ?empty box? category, as discussed in Granger (1999). We present ex ante forecasting evidence based on an updated version of the absolute returns series examined by ...
Bhardwaj, Geetesh, Swanson, Norman R.
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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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Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration [PDF]
In this paper we compare through Monte Carlo simulations the finite sample properties of estimators of the fractional differencing parameter, d. This involves frequency domain, time domain, and wavelet based approaches and we consider both parametric and
Morten Ørregaard Nielsen +1 more
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Commonality in the LME aluminium and copper volatility processes through a Figarch lens [PDF]
We consider dynamic representation of spot and three month aluminium and copper volatilities. These are the two most important metals traded in the London Metal Exchange (LME).
Christopher L. Gilbert +1 more
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Time Analysis of an Emergent Infection Spread Among Healthcare Workers: Lessons Learned from Early Wave of SARS-CoV-2. [PDF]
Int J Gen Med, 2022 Leme PAF +8 more
europepmc +1 more source