Results 21 to 30 of about 11,523 (297)
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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Modelling long-run trends and cycles in financial time series data [PDF]
, 2013 Copyright @ 2012 Wiley Publishing Ltd. This is the accepted version of the following article: "Modelling long-run trends and cycles in financial time series data", Journal of Time Series Analysis, 34(3), 405-421, 2013, which has been published in final ...
Cuñado, J, Gil-Alana, LA
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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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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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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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Long memory in US real output per capita [PDF]
, 2009 This paper analyses the long memory properties of quarterly real output per capita in the US (1948Q1 – 2008Q3) using non-parametric, semi-parametric and parametric techniques. The results vary substantially depending on the methodology employed. Evidence
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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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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