FRACTIONAL DIFFERENCING MODELING AND FORECASTING OF EUROCURRENCY DEPOSIT RATES [PDF]
Journal of Financial Research, 1997 AbstractUsing the spectral regression method, we test for long‐term stochastic memory in three‐ and six‐month daily returns series of Eurocurrency deposits denominated in major currencies. Significant evidence of positive long‐term dependence is found in several Eurocurrency returns series.
John Barkoulas, Christopher F. Baum
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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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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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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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Interest rate dynamics in Kenya: Commercial banks’ rates and the 91-Day Treasury bill rate [PDF]
, 2010 This paper analyses the implicit dynamics underlying the interest rate structure in Kenya. For this purpose we use data on four commercial banks’ interest rates (Deposits, Savings, Lending and Overdraft) together with the 91-Day Treasury Bill rate, for
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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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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Fractional Differencing and Random Forest Framework for Financial Time-Series Forecasting
Fractal and FractionalFractional differencing offers a persistence-oriented representation of financial time series, while fractional volatility models provide information on persistent conditional variance. This study evaluates whether such fractional-econometric information
Yuyun Hidayat +8 more
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Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited
Econometrics, 2016 In recent years, fractionally-differenced processes have received a great deal of attention due to their flexibility in financial applications with long-memory.
M. Shelton Peiris, Manabu Asai
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