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International traveling and trade: further evidence for the case of Spanish wine based on fractional VAR specifications [PDF]

This paper deals with the relationship between international travelling and trade. For this purpose we focus on a particular case study: the connection between the Spanish wine exports to Germany and the German travellers to Spain.
Gil-Alana, Luis A., Fischer, Christian
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Fractional Integration and Cointegration in US Financial Time Series Data [PDF]

This paper examines several US monthly financial time series data using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets ...
Luis A. Gil-Alana, Guglielmo Maria Caporale   +1 more
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Sesgos en estimación, tamaño y potencia de una prueba sobre el parámetro de memoria larga en modelos ARFIMA

Lecturas de Economía, 2010
Castaño et al. (2008) proposed a test to investigate the existence of long memory based on the fractional differencing parameter of an ARFIMA (p, d, q) model.
Karoll Gómez Portilla, Santiago Alejandro Gallón Gómez, Elkin Castaño Vélez   +2 more
doaj  

Efficient Runge–Kutta Scheme Combined with Richardson Extrapolation for Nonlinear Fractional Partial Differential Equations Involving the Fractional Laplacian

Fractal and Fractional
In this paper, an efficient numerical framework combined with RK4 method and Richardson extrapolation is proposed to solve nonlinear time-dependent partial differential equations involving the Riesz fractional Laplacian operator (−Δ)s.
Yifei Hao, Yiyin Liang, Shichao Yi
doaj   +1 more source

A REEXAMINATION OF FRACTIONAL INTEGRATING DYNAMICS IN FOREIGN CURRENCY MARKETS [PDF]

This paper reexamines foreign currency markets for evidence of fractional integration, and extends the extant literature in several important dimensions.
Koo, Won W., Elder, John, Jin, Hyun Joung   +2 more
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Unemployment hysteresis, structural changes, non-linearities and fractional integration in European transition economies [PDF]

In this paper we aim to analyse the dynamics of unemployment in a group of Central and Eastern European Countries (CEECs). The CEECs are of special importance for the future of the European Union, given that most of them have recently become member ...
Luis A. Gil-Alana, Juan Carlos Cuestas
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Una nueva prueba para el parámetro de diferenciación fraccional

Revista Colombiana de Estadística, 2008
Este documento presenta una nueva prueba para el parámetro de diferenciación fraccional de un modelo ARFIMA, basada en una aproximación autorregresiva de su componente a corto plazo.
ELKIN CASTAÑO, KAROLL GÓMEZ, SANTIAGO GALLÓN   +2 more
doaj  

The Periodogram of fractional processes. [PDF]

We analyse asymptotic properties of the discrete Fourier transform and the periodogram of time series obtained through (truncated) linear filtering of stationary processes.
Velasco, Carlos
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PEMODELAN AUTOREGRESSIVE FRACTIONALLY INTEGRATED MOVING AVERAGE (ARFIMA) UNTUK AKTIVITAS CURAH HUJAN DI KOTA MEDAN

Jurnal Lebesgue
The Autoregressive Fractionally Integrated Moving Average (ARFIMA) model is a development of the ARIMA model with the differencing values ​​being fractional numbers.
Muhammad Reja Sinaga, Sutarman Sutarman, Fibri Rakhmawati   +2 more
doaj   +1 more source

Seasonally and Fractionally Differenced Time Series

Seasonally and Fractionally Differenced Time Series
January 2004; revised August 2006 This paper is based on a portion of Chapters 1 and 2 of the author's Ph.D. thesis. This paper deals with a generalized seasonally integrated autoregressive moving average (SARIMA) model, which allows the two differencing parameters to take on fractional values.
openaire   +3 more sources