Results 1 to 10 of about 12,987,723 (342)
LARCH, Leverage and Long Memory [PDF]
, 2003 We consider the long memory and leverage properties of a model for the conditional variance of an observable stationary sequence, where the conditional variance is the square of an inhomogeneous linear combination of past values of the observable ...
Donatas Surgailis +3 more
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Frontiers in Psychology, 2022 This study examined the naturalistic conversations of 62 parent-child dyads during informal learning at an aquarium and with a subsample at home. Children (Mage = 69.8 months) with their parents were observed and audio recorded while exploring an ...
Grace Ocular +6 more
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Cogent Economics & Finance, 2022 We present a multi-scale and time-frequency analysis of the degree of integration and the lead-lag relationship between six cryptocurrencies (i.e., Bitcoin, Bitcoincash, Ethereum, Litecoin, Ripple, and Tether) and the cryptocurrency-implied volatility ...
Samuel Kwaku Agyei +6 more
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Time series aggregation, disaggregation and long memory
Lietuvos Matematikos Rinkinys, 2023 Large-scale aggregation and its inverse, disaggregation, problems are important in many fields of studies like macroeconomics, astronomy, hydrology and sociology.
Dmitrij Celov, Remigijus Leipus
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Nonfractional Long-Range Dependence: Long Memory, Antipersistence, and Aggregation
Econometrics, 2021 This paper used cross-sectional aggregation as the inspiration for a model with long-range dependence that arises in actual data. One of the advantages of our model is that it is less brittle than fractionally integrated processes.
J. Eduardo Vera-Valdés
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Learning Generates Long Memory [PDF]
SSRN Electronic Journal, 2011 We consider a prototypical representative-agent forward-looking model, and study the low frequency variability of the data when the agent's beliefs about the model are updated through linear learning algorithms. We nd that learning in this context can generate strong persistence.
Chevillon, Guillaume +1 more
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Pitfalls in long memory research
Cogent Economics & Finance, 2020 This paper offers a multifaceted perspective of the literature on long memory. Although the research on long memory has played an instrumental role in elevating the level of scholarly discourse on market efficiency, the authors believe that the issue of ...
Kunal Saha +2 more
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Lietuvos Matematikos Rinkinys, 2021 The article investigates the properties of two alternative disaggregation methods. First one, proposed in Chong (2006), is based on the assumption of polynomial autoregressive parameter density. Second one, proposed in Leipus et al.
Dmitrij Celov +2 more
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Long-term memory retrieval bypasses working memory
NeuroImage, 2022 For decades, it has been assumed that when humans retrieve information from long-term memory (LTM), information need first to be brought back into working memory (WM). However, as WM capacity is limited, it is unclear what happens if information from LTM needs to be retrieved while WM is fully engaged?
Liu, Baiwei +3 more
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Modeling Long Memory in REITs [PDF]
Real Estate Economics, 2007 One stylized feature of financial volatility impacting the modeling process is long memory. This article examines long memory for alternative risk measures, observed absolute and squared returns for Daily Equity real estate investment trust (REITs) and compares the findings for a market equity index.
Cotter, John, Simon Stevenson, Simon
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