Results 11 to 20 of about 234,828 (176)
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
core +7 more sources
US disposable personal income and housing price index: A fractional integration analysis [PDF]
, 2010 This paper examines the relationship between US disposable personal income (DPI) and house price index (HPI) during the last twenty years applying fractional integration and long-range dependence techniques to monthly data from January 1991 to July 2010.
Gil-Alana, Luis A. +5 more
core +6 more sources
Fractional integration and cointegration in US financial time series data [PDF]
, 2011 This paper examines several US monthly financial time series data using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets ...
Caporale, GM, Gil-Alana, LA
core +7 more sources
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
doaj +1 more source
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
doaj +1 more source
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
openaire +4 more sources
The Periodogram of fractional processes [PDF]
, 2007 We analyse asymptotic properties of the discrete Fourier transform and the periodogram of time series obtained through (truncated) linear filtering of stationary processes.
Velasco Gómez, Carlos +2 more
core +1 more source
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
doaj +1 more source
A generalized fractionally differencing approach in long-memory modeling [PDF]
Lithuanian Mathematical Journal, 1995 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Giraitis, Liudas, Leipus, Remigijus
openaire +2 more sources
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
doaj +1 more source