Results 1 to 10 of about 3,061,654 (200)
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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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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Musicians have better memory than nonmusicians: A meta-analysis [PDF]
, 2017 Background Several studies have found that musicians perform better than nonmusicians in memory tasks, but this is not always the case, and the strength of this apparent advantage is unknown.
Altoe', Gianmarco +3 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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Statistical Arbitrage in Emerging Markets: A Global Test of Efficiency
Mathematics, 2021 In this paper, we use a statistical arbitrage method in different developed and emerging countries to show that the profitability of the strategy is based on the degree of market efficiency.
Karen Balladares +3 more
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A brief history of long memory: Hurst, Mandelbrot and the road to ARFIMA [PDF]
, 2016 Long memory plays an important role in many fields by determining the behaviour and predictability of systems; for instance, climate, hydrology, finance, networks and DNA sequencing.
Franzke, Christian +3 more
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Market Efficiency, Roughness and Long Memory in PSI20 Index Returns: Wavelet and Entropy Analysis
Entropy, 2014 In this study, features of the financial returns of the PSI20index, related to market efficiency, are captured using wavelet- and entropy-based techniques. This characterization includes the following points.
Rui Pascoal, Ana Margarida Monteiro
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