Results 21 to 30 of about 8,933,709 (332)
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
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
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 +3 more sources
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
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
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
core +3 more sources
Long memory in German energy price indices [PDF]
, 2012 This study examines the long-memory properties of German energy price indices (specifically, import and export prices, as well as producer and consumer prices) for hard coal, lignite, mineral oil and natural gas adopting a fractional integration ...
Barros, CP, Caporale, GM, Gil-Alana, LA
core +2 more sources
Exponential time differencing schemes for the 3-coupled nonlinear fractional Schrödinger equation
Advances in Difference Equations, 2018 Two modified exponential time differencing schemes based on the Fourier spectral method are developed to solve the 3-coupled nonlinear fractional Schrödinger equation. We compare the stability of the schemes by plotting their stability regions. The local
Xiao Liang, Harish Bhatt
doaj +1 more source
Long memory and volatility dynamics in the US Dollar exchange rate [PDF]
, 2010 This paper focuses on nominal exchange rates, specifically the US dollar rate vis-à-vis the Euro and the Japanese Yen at a daily frequency. We model both absolute values of returns and squared returns using long-memory techniques, being particularly ...
Caporale, GM, Gil-Alana, LA
core +3 more sources
Mathematics, 2023 This paper deals with the analysis of the persistence in the Harmonized Indices of Consumer Prices in France, Germany, Italy, and Spain. The degree of persistence is measured through fractional integration or I (d) techniques, using monthly data from ...
Raquel Ayestarán +3 more
doaj +1 more source