The Forecast Performance of Long Memory and Markov Switching Models [PDF]
Recent research has focused on the links between long memory and structural change, stressing the long memory properties that may arise in models with parameter changes. In this paper, we contribute to this research by comparing the forecasting abilities
Luis F. Martins, Vasco J. Gabriel
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Maximum Likelihood Estimators for ARMA and ARFIMA Models: A Monte Carlo Study
SSRN Electronic Journal, 1998 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Long Memory in the Turkish Stock Market Return and Volatility [PDF]
This paper examines the dual long memory property of the Turkish stock market. The data set consists of daily returns, and long memory tests are carried out both for the returns and volatility.
Adnan Kasman, Erdost Torun
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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
Refined Inference on Long Memory in Realized Volatility [PDF]
There is an emerging consensus in empirical finance that realized volatility series typically display long range dependence with a memory parameter (d) around 0.4 (Andersen et. al. (2001), Martens et al. (2004)).
Offer Lieberman, Peter C. B. Phillips
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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
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.
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Reexamining the linkages between inflation and output growth: A bivariate ARFIMA-FIGARCH approach [PDF]
In this paper, given recent theoretical developments that inflation can exhibit long memory properties due to the output growth process, we propose a new class of bivariate processes to simultaneously investigate the dual long memory properties in the ...
Feng Jiang, Mustafa Caglayan
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"Realized Volatility Risk" [PDF]
In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in ...
David E. Allen +2 more
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NEO: NEuro-Inspired Optimization-A Fractional Time Series Approach. [PDF]
Front Physiol, 2021 Chatterjee S, Das S, Pequito S.
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