Results 21 to 30 of about 7,808,961 (245)
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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Log-periodogram regression in asymmetric long memory [PDF]
, 1999 summary:The long memory property of a time series has long been studied and several estimates of the memory or persistence parameter at zero frequency, where the spectral density function is symmetric, are now available.
Arteche, Josu +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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SSRN Electronic Journal, 2008 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ibragimov, R, Lentzas, G
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The Long Memory of the Efficient Market [PDF]
Studies in Nonlinear Dynamics & Econometrics, 2004 Abstract For the London Stock Exchange we demonstrate that the signs of orders obey a long-memory process. The autocorrelation function decays roughly as a power law with an exponent of 0.6, corresponding to a Hurst exponent H = 0.7. This implies that the signs of future orders are quite predictable from the signs of past orders; all ...
Fabrizio Lillo, J. Doyne Farmer
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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.
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Long-Term Potentiation and Memory [PDF]
Physiological Reviews, 2004 Lynch, MA. Long-Term Potentiation and Memory. Physiol Rev 84: 87–136, 2004; 10.1152/physrev.00014.2003.—One of the most significant challenges in neuroscience is to identify the cellular and molecular processes that underlie learning and memory formation. The past decade has seen remarkable progress in understanding changes that accompany certain forms
Lynch, M. A., Ma, Lynch
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