Results 71 to 80 of about 6,621,438 (152)
Fractional Integration and Business Cycles Features [PDF]
We show in this article that fractionally integrated univariate models for GDP may lead to a better replication of business cycle characteristics. We firstly show that the business cycle features are clearly affected by the degree of integration as well ...
Luis A. Gil-Alana, Bertrand Candelon
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An Overview of FIGARCH and Related Time Series Models
Austrian Journal of Statistics, 2016 This paper reviews the theory and applications related to fractionally integrated generalized autoregressive conditional heteroscedastic (FIGARCH) models, mainly for describing the observed persistence in the volatility of a time series.
Maryam Tayefi, T.V. Ramanathan
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Measuring core inflation in the euro area [PDF]
We propose a measure of core inflation which is derived from a Markov switching ARFIMA model. The Markov switching ARFIMA model generalises the standard ARFIMA model allowing mean reversion to take place with respect to a changing unconditional mean.
Morana, Claudio
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Використання мови R для ідентифікації параметрів ARFIMA-моделі [PDF]
, 2016 This work is devoted to the identification of the parameters of ARFIMA(p,d,q) time series model. The algorithm of the parameters estimation using R programming language functions from fracdiff and forecast packages is discussed in ...
Рабик, Василь Григорович +2 more
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Persistência inflacionária regional brasileira: uma aplicação dos modelos arfima
Economia Aplicada, 2013 Este artigo analisa o fenômeno da persistência das taxas de inflação (IPCA) das regiões metropolitanas de Belém, Fortaleza, Recife, Salvador, Belo Horizonte, Rio de Janeiro, São Paulo, Curitiba e Porto Alegre, além de Brasília e Goiânia.
Cleomar Gomes da Silva +1 more
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Revista Colombiana de Estadística, 2008 This paper presents a new test for the fractional differencing parameter of an ARFIMA model, based on an autoregressive approximation of its short-range component.
Castaño Elkin +2 more
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Revista Colombiana de Estadística, 2008 Este documento presenta una nueva prueba para el parámetro de diferenciación fraccional de un modelo ARFIMA, basada en una aproximación autorregresiva de su componente a corto plazo.
ELKIN CASTAÑO +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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A guide to Whittle maximum likelihood estimator in MATLAB. [PDF]
Front Netw Physiol, 2023 Roume C.
europepmc +1 more source
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 ...
Swanson, Norman R., Bhardwaj, Geetesh
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