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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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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Generalized Memory: Fractional Calculus Approach
Fractal and Fractional, 2018 The memory means an existence of output (response, endogenous variable) at the present time that depends on the history of the change of the input (impact, exogenous variable) on a finite (or infinite) time interval.
Vasily E. Tarasov
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Long-Lasting Economic Effects of Pandemics:Evidence on Growth and Unemployment
Econometrics, 2020 This paper studies long economic series to assess the long-lasting effects of pandemics. We analyze if periods that cover pandemics have a change in trend and persistence in growth, and in level and persistence in unemployment.
C. Vladimir Rodríguez-Caballero +1 more
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Investigation of Fractal Market Hypothesis in Emerging Markets: Evidence from the MINT Stock Markets
Organizations and Markets in Emerging Economies, 2022 This study aims to investigate the market efficiency of emerging stock markets, namely the Mexico, Indonesia, Nigeria, and Turkey (MINT) stock markets based on the Fractal Market Hypothesis.
Yunus Karaömer
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Modelling exchange rate volatility with random level shifts [PDF]
, 2016 Recent literature has shown that the volatility of exchange rate returns displays long memory features. It has also been shown that if a short memory process is contaminated by level shifts, the estimate of the long memory parameter tends to be upward ...
Li, Ye, Perron, Pierre, Xu, Jiawen
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Structural MRI Correlates of Episodic Memory Processes in Parkinson's Disease Without Mild Cognitive Impairment. [PDF]
, 2015 BackgroundChanges in episodic memory are common early in Parkinson's disease (PD) and may be a risk factor for future cognitive decline. Although medial temporal lobe (MTL) memory and frontostriatal (FS) executive systems are thought to play different ...
Filoteo, J Vincent +3 more
core +2 more sources
Use of fresh water over the long run measuring persistence
Water Policy, 2022 In this article, we carry out a study of the degree of persistence of a time series of data on freshwater use in the long term, using fractional integration or I(d) techniques. Using annual data from 1901 to 2014, we observe that the order of integration
Marta del Rio +2 more
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Long memory and long run variation [PDF]
Journal of Econometrics, 2009 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire +2 more sources