Modeling High Frequency Data with Long Memory and Structural Change: A-HYEGARCH Model
Risks, 2018 In this paper, we propose an Adaptive Hyperbolic EGARCH (A-HYEGARCH) model to estimate the long memory of high frequency time series with potential structural breaks.
Yanlin Shi, Yang Yang
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Temperature and precipitation in the US states: long memory, persistence, and time trend. [PDF]
Theor Appl Climatol, 2022 Gil-Alana LA +3 more
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Long Days Enhance Recognition Memory and Increase Insulin-like Growth Factor 2 in the Hippocampus [PDF]
, 2017 Light improves cognitive function in humans; however, the neurobiological mechanisms underlying positive effects of light remain unclear. One obstacle is that most rodent models have employed lighting conditions that cause cognitive deficits rather than ...
Baker, Kimberly +10 more
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Evaluation of Dual Long Memory Properties with Emphasizing the Skewed and Fat-Tail Distribution: Evidence from Tehran Stock Exchange [PDF]
Muṭāli̒āt-i Mudīriyyat-i Ṣan̒atī, 2014 This paper investigates the presence of long memory in the Tehran stock market, using the ARFIMA, GPH, GSP and FIGARCH models. The data set consists of daily returns, and long memory tests are carried out both for the returns and volatilities of TEPIX ...
Mohammad Javad Mohagheghnia +3 more
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BAYESIAN SEMIPARAMETRIC LONG MEMORY MODELS FOR DISCRETIZED EVENT DATA. [PDF]
Ann Appl Stat, 2022 Chakraborty A, Ovaskainen O, Dunson DB.
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Memory Mechanisms: A common cascade for long-term memory [PDF]
Current Biology, 1995 Genetic, behavioral and electrophysiological approaches are beginning to unravel the mechanism of memory; cAMP-mediated gene expression appears to be universally required for establishing long-term memory.
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COVID-19 and credit risk: A long memory perspective. [PDF]
Insur Math Econ, 2022 Yin J, Han B, Wong HY.
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Impact of COVID-19 on Stock Indices Volatility: Long-Memory Persistence, Structural Breaks, or Both? [PDF]
Ann Data Sci, 2022 de Oliveira AMB, Mandal A, Power GJ.
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Globalization, long memory, and real interest rate convergence: a historical perspective. [PDF]
Empir Econ, 2022 Canarella G +3 more
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Long Run Covariance Matrices for Fractionally Integrated Processes [PDF]
An asymptotic expansion is given for the autocovariance matrix of a vector of stationary long-memory processes with memory parameters d satisfying 0Asymptotic expansion, Autocovariance function, Fourier integral, Long memory, Long run variance, Spectral ...
Chang Sik Kim, Peter C.B. Phillips
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