Long Memory Persistence in the Factor of Implied Volatility Dynamics [PDF]
The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IV S). Practical applications require reducing the dimension and characterize its dynamics through a small number of ...
Julius Mungo, Wolfgang Härdle
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Model-based stationarity filtering of long-term memory data applied to resting-state blood-oxygen-level-dependent signal. [PDF]
PLoS One, 2022 Bansal IR +4 more
europepmc +1 more source
Forecasting Italian Electricity Zonal Prices with Exogenous Variables [PDF]
In the last few years we have observed deregulation in electricity markets and an increasing interest of price dynamics has been developed especially to consider all stylized facts shown by spot prices.
Angelica Gianfreda, Luigi Grossi
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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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Pandemic episodes, CO2 emissions and global temperatures. [PDF]
Theor Appl Climatol, 2022 Monge M, Gil-Alana LA.
europepmc +1 more source
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
Long memory and nonlinearities in realized volatility: a Markov switching approach. [PDF]
Goal of this paper is to analyze and forecast realized volatility through nonlinear and highly persistent dynamics. In particular, we propose a model that simultaneously captures long memory and nonlinearities in which level and persistence shift through
D. Raggi, S. Bordignon
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Forecasting the Romanian Unemployment Rate in Time of Health Crisis-A Univariate vs. Multivariate Time Series Approach. [PDF]
Int J Environ Res Public Health, 2021 Davidescu AA, Apostu SA, Marin A.
europepmc +1 more source
ARFIMA model applied to Malaysian stock market
Communications in Mathematical Biology and Neuroscience, 2022 openaire +1 more source