Results 11 to 20 of about 11,486 (300)
Adaptive Estimation of the Fractional Differencing Coefficient [PDF]
Bernoulli, 2001 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Iouditsky, Anatoli +2 more
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Current Mode Fractional Order Filters Using VDTAs with Grounded Capacitors [PDF]
International Journal of Electronics and Telecommunications, 2019 In this work, the design of current mode Fractional order filter using VDTAs (Voltage differencing trans-conductance amplifier) as an active element with grounded capacitors has been proposed.
Dinesh Prasad, Mayank Kumar, Md.W. Akram
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Nonfractional Long-Range Dependence: Long Memory, Antipersistence, and Aggregation
Econometrics, 2021 This paper used cross-sectional aggregation as the inspiration for a model with long-range dependence that arises in actual data. One of the advantages of our model is that it is less brittle than fractionally integrated processes.
J. Eduardo Vera-Valdés
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Fractionally Differenced Gegenbauer Processes with Long Memory: A Review [PDF]
Statistical Science, 2018 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Dissanayake, GS +2 more
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Diligence in determining the appropriate form of stationarity
Acta Commercii, 2014 Orientation: One of the most vexing problems of modelling time series data is determining the appropriate form of stationarity, as it can have a significant influence on the model’s explanatory properties, which makes interpreting the results problematic.
André Heymans +3 more
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Persistence and cycles in the US Federal Funds rate [PDF]
, 2012 This paper uses long-range dependence techniques to analyse two important features of the US Federal Funds effective rate, namely its persistence and cyclical behaviour. It examines annual, monthly, bi-weekly and weekly data, from 1954 until 2010.
Caporale, GM, Gil-Alana, LA
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Revista de Economia e Sociologia Rural, 2007 O presente trabalho tem como objetivo modelar séries temporais para efeito de previsão com diferenciações inteira e fracionária, utilizando dados de preços futuros de commodities agrícolas.
Ricardo Chaves Lima +2 more
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The weekly structure of US stock prices [PDF]
, 2010 In this paper we use fractional integration techniques to examine the degree of integration of four US stock market indices, namely the Standard and Poor, Dow Jones, Nasdaq and NYSE, at a daily frequency from January 2005 till December 2009.
Caporale, GM, Gil-Alana, LA
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Structural break or long memory: an empirical survey on daily rainfall data sets across Malaysia [PDF]
Hydrology and Earth System Sciences, 2013 A short memory process that encounters occasional structural breaks in mean can show a slower rate of decay in the autocorrelation function and other properties of fractional integrated I (d) processes.
F. Yusof, I. L. Kane, Z. Yusop
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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 Barkoulas, Christopher F. Baum
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