Results 1 to 10 of about 8,933,709 (332)
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.
J. Elder, R. Elliott, Hong Miao
semanticscholar +4 more sources
Adaptive estimation of the fractional differencing coefficient [PDF]
Bernoulli, 2001 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Anatoli Iouditsky +2 more
semanticscholar +4 more sources
Fractional differencing in stock market price and online presence of global tourist corporations [PDF]
Journal of Economics Finance and Administrative Science, 2019 Purpose - This work aims to explore the behavior of stock market prices according to the autoregressive fractional differencing integrated moving average model.
Francisco Flores-Muñoz +2 more
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A Generalised Fractional Differencing Bootstrap for Long Memory Processes [PDF]
Journal of Time Series Analysis, 2019 A bootstrap methodology suitable for use with stationary and non‐stationary fractionally integrated time series is further developed in this article.
G. Kapetanios +2 more
semanticscholar +3 more sources
Consumption and fractional differencing: old and new anomalies [PDF]
The Review of Economics and Statistics, 1993 Haubrich is an economic advisor at the Federal Reserve Bank of Cleveland. The author would like to thank Andrew Abel, Angus Deaton, Roger Kormendi, Andrew Lo, and seminar participants at the University of Pennsylvania, the Federal National Mortgage Association, and the winter Econometric Society meetings for stimulating discussions.
Joseph G. Haubrich
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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
Fractional Differencing Modeling and Forecasting of Eurocurrency Deposit Rates [PDF]
Journal of Financial Research, 1997 AbstractUsing the spectral regression method, we test for long‐term stochastic memory in three‐ and six‐month daily returns series of Eurocurrency deposits denominated in major currencies. Significant evidence of positive long‐term dependence is found in several Eurocurrency returns series.
John T. Barkoulas, Christopher F. Baum
semanticscholar +2 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 dynamical processes producing, storing and transmitting information in financial time series.
Pietro Murialdo +2 more
doaj +5 more sources
A generalized ARFIMA process with Markov-switching fractional differencing parameter [PDF]
Journal of Statistical Computation and Simulation, 2007 We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm combines the Durbin-Levinson and Viterbi procedures. A Monte
Wen-Jen Tsay, W. Härdle
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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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