Results 221 to 230 of about 11,080 (251)

Interest parity, fractional differencing, and the strength of attraction

Global Finance Journal, 1999
Abstract This article discusses the strength of attraction in the cointegration of foreign exchange futures prices and their own cash prices under a cost-of-carry futures pricing model. The memories of the residuals in cointegration regression are analyzed by using the fractional cointegration of Cheung and Lai (1993) and the data-tapered method ...
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On fractionally differenced periodic processes

2010
Summary: Long memory time series have been a topic of considerable recent interest. Applications of such processes have been made to hydrology, meteorology and economics. This paper considers modelling periodic processes with long term dependence patterns existing in the data.
Hui, YV, Li, WK
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Estimation of frequencies of sinusoids in fractionally differenced gaussian noise

Proceedings 7th International Conference on Signal Processing, 2004. Proceedings. ICSP '04. 2004., 2005
This paper is concerned with the estimation of frequencies of sinusoids based on the data disturbed by fractal noises. For fractionally differenced Gaussian noises, a combinatory method of bias compensated least squares (BCLS) and maximum likelihood (ML) is presented here for this problem.
null Chuangbai Xiao, null Jianbiao Zhang, null Yongquan Cai   +2 more
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Spectral approximation to the fractional differencing operator

2006
The article proposes a criterion for the estimation of the best ARMA(1,1) process which approximates a given fractionally integrated process.
PICCOLO, DOMENICO, CORDUAS, MARCELLA
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FRACTIONAL DIFFERENCING MODELING IN HYDROLOGY¹

JAWRA Journal of the American Water Resources Association, 1985
ABSTRACT: Fractional differencing is a tool for modeling time series which have long‐term dependence; i.e., series in which the correlation between distant observations, though small, is not negligible. Fractionally differenced ARIMA models are formed by permitting the differencing parameter d in the familiar Box‐Jenkins ARIMA(p, d, q) models to take ...
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Semiparametric Estimation of the Fractional Differencing Parameter of Measures of the U.K. Unemployment

Computational Economics, 2002
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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An Application of the Seasonal Fractionally Differenced Model to the Monetary Aggregates

Journal of the American Statistical Association, 1990
Abstract In this article, three significant variables used by the U.S. Federal Reserve as targets to shape monetary policy, the monetary aggregates M1, M2, and M3, are examined using a seasonal fractionally differenced model. The sample autocorrelation functions of these monetary variables exhibit a decay pattern at the seasonal lags that is typical of
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Revisiting the relations between Hurst exponent and fractional differencing parameter for long memory

Physica A: Statistical Mechanics and Its Applications, 2021
Liang Ding, Yirong Huang
exaly  

Fractional differencing

Biometrika, 1981
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Fast exponential time differencing/spectral-Galerkin method for the nonlinear fractional Ginzburg–Landau equation with fractional Laplacian in unbounded domain

Applied Mathematics Letters, 2021
Pengde Wang
exaly