Results 1 to 10 of about 11,367 (181)
Seasonally and Fractionally Differenced Time Series [PDF]
Seasonally and Fractionally Differenced Time Series, 2007 fractional differencing, Lagrange multiplier test, long memory, seasonal differencing, seasonal ...
Katayama, Naoya
core +3 more sources
Long-Range Dependence in Financial Markets: a Moving Average Cluster Entropy Approach [PDF]
Entropy, 2020 A perspective is taken on the intangible complexity of economic and social systems by investigating the underlying dynamical processes that produce, store and transmit information in financial time series in terms of the \textit{moving average cluster ...
Carbone, Anna +2 more
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Stability analysis and numerical simulation of nonlocal extended epidemic models using positivity-preserving scheme. [PDF]
Sci RepIn this paper we introduce a robust numerical framework for simulating the nonlocal extended epidemic models that incorporate the fractional diffusion to capture the complex spatial–temporal dynamics of disease spread. The presented numerical scheme uses
Yousuf M, Alshakhoury N.
europepmc +2 more sources
Adaptive Fractional Differencing: Theory and Methodology
IEEE AccessThis study develops a theoretical framework for forecasting financial time series exhibiting both non-stationarity and long-range dependence (LRD).
Sarit Maitra
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CO2 emissions persistence: Evidence using fractional integration [PDF]
Energy Strategy Reviews, 2022 The main cause of climate change are carbon dioxide emissions. In the context of the COVID-19 pandemic, the number of emissions has been significantly reduced for the first time in many years.
Claudio-Quiroga G, Gil-Alana L.
europepmc +2 more sources
Some new evidence using fractional integration about trends, breaks and persistence in polar amplification. [PDF]
Sci RepThis paper uses fractional integration methods to obtain new evidence on polar amplification. The adopted modelling framework is very general since it allows the differencing parameter to take any real value, including fractional ones, and provides ...
Caporale GM +2 more
europepmc +2 more sources
Humbert generalized fractional differenced ARMA processes
Communications in Nonlinear Science and Numerical Simulation, 2023 In this article, we use the generating functions of the Humbert polynomials to define two types of Humbert generalized fractional differenced ARMA processes. We present stationarity and invertibility conditions for the introduced models. The singularities for the spectral densities of the introduced models are obtained.
Niharika Bhootna +3 more
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Journal of Mathematics, 2021 The coupled nonlinear Schrödinger equation is used in simulating the propagation of the optical soliton in a birefringent fiber. Hereditary properties and memory of various materials can be depicted more precisely using the temporal fractional ...
Xiao Liang, Bo Tang
doaj +1 more source
Tourism persistence in the Southeastern European countries: The impact of covid-19
Cogent Economics & Finance, 2023 This paper examines tourism persistence in a group of Southeastern European (SEE) countries (Albania, Bosnia, Bulgaria, Croatia, Montenegro, North Macedonia, Serbia and Slovenia) by applying fractional integration methods to monthly data on foreign ...
Guglielmo Maria Caporale +2 more
doaj +1 more source
Fractional differencing in discrete time [PDF]
Quantitative Finance, 2011 This paper consists of two parts, a theoretical followed by an empirical contribution. We first give a new framework for fractional differencing in discrete time and show how the definition of fractional differencing that is commonly employed in empirical financial applications arises as a special case.
Elder, J., Elliott, R., Miao, H.
openaire +3 more sources