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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. The resampling algorithm involves estimating the degree of fractional integration, applying the fractional differencing operator, resampling the resulting approximation to the underlying short memory ...
Kapetanios, George +2 more
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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
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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.
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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
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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
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Electronically Adjustable Emulator of the Fractional-Order Capacitor
Elektronika ir Elektrotechnika, 2019 This paper presents a design of the controllable emulator of the FOC (Fractional-Order Capacitor) and its application. The circuit is based on 5th-order RC topology (type Foster I), where the passive elements in the topology are replaced by ...
Jan Dvorak +4 more
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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
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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, Wolfgang Härdle
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Modelling persistence in annual Australia point rainfall [PDF]
Hydrology and Earth System Sciences, 2003 Annual rainfall time series for Sydney from 1859 to 1999 is analysed. Clear evidence of nonstationarity is presented, but substantial evidence for persistence or hidden states is more elusive. A test of the hypothesis that a hidden state Markov model
J. P. Whiting +3 more
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