Fractionally Integrated
The Persistence of Inflation in OECD Countries: A Fractionally Integrated Approach
... The statistical properties of inflation and, in particular, its degree of persistence and stability over time is a subject of intense debate, and no consensus has been achieved yet. The goal of this paper is to analyze ...
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Do Dynamic Neural Networks Stand a Better Chance in Fractionally Integrated Process Forecasting?
... Regressive Fractionally Integrated Moving Average model which is based on Fractional Integration Approach) in forecasting daily data related to the return index of Tehran Stock Exchange ...
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Semiparametric frequency domain analysis of fractionally integrated and cointegrated time series
... The purpose of this thesis is to analyze the generalization of the notion of cointegration beyond the unit root framework. We shall consider multivariate fractionally integrated processes which satisfy ...
187
ANALYSING Inflation in Nigeria: A Fractionally Integrated ARFIMA GARCH Modelling Approach
... This study employed the ARFIMA-GARCH approach proposed by Bailie, Chung and Tieslau (1996). Bailie et al (1996) consider the application of long memory process to describing inflation for ten countries. They implement a ...
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Intra-Market Price Discovery in an Emerging Stock Market: Vector Fractionally-Integrated Error Correction Model and Toda-Yamamoto Level VAR Approaches
... on fractionally integrated processes as cited above, a number of researchers have questioned the strict nature of the integer choice of differencing, in that it appears too restrictive leading to invalid ...
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Examining the Value-at-risk Performance of Fractionally Integrated GARCH Models: Evidence from Energy Commodities
... (GARCH), fractionally integrated GARCH (FIGARCH), hyperbolic GARCH (HYGARCH) and fractionally integrated, asymmetric power ARCH (FIAPARCH) models for West Texas intermediate crude oil, Europe ...
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First-Order Fractionally Integrated Non-Separable Spatial Autoregressive (FINSSAR(1,1)) Model and Some of its Properties
... Sethuraman and Basawa (1995) established the asymptotic normality of the maximum likelihood estimators of the parameters of separable case in which p 1 = q 1 = q 2 = d 2 = 0 . Boissy et al. (2005) showed the consistency ...
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Fixed bandwidth asymptotics for the studentized mean of fractionally integrated processes
... White Rose Research Online URL for this paper: http://eprints.whiterose.ac.uk/108056/ Version: Accepted Version Article: Hualde, Javier and Iacone, Fabrizio orcid.org/0000-0002-2681-9036[r] ...
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Particle Gibbs with Ancestor Sampling Methods for Unobserved Component Time Series Models with Heavy Tails, Serial Dependence and Structural Breaks
... toregressive fractionally integrated moving average model with stochastic volatility where we allow for structural breaks in the level, long and short memory parameters contemporaneously with breaks in the ...
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Two Distinct Seasonally Fractionally Differenced Periodic Processes
... . To put this e¤ect in evidence, we have derived the periodic auto-covariance functions of two distinct uni- variate seasonally fractionally di¤erenced periodic models. A multivariate representation of ...
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Bootstrapping the small sample critical values of the rescaled range statistic
... when fractionally integrated series, the main long memory processes considered in the literature, were ...against fractionally integrated I(d) alternatives with d = O(T –1/2 ...
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Modelling Financial Market Volatility Using Asymmetric-Skewed-ARFIMAX and -HARX Models
... and fractionally integrated autoregressive moving average (ARFIMA) models are introduced to model the S&P500 index using various realized volatility measures that are robust to ...volatities ...
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Modeling and forecasting time series of precious metals: a new approach to multifractal data
... We introduce a novel approach to multifractal data in order to achieve transcended modeling and forecasting performances by extracting time series out of local Hurst exponent calculations at a specified scale. First, the ...
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FORECASTING FRESH WATER AND MARINE FISH PRODUCTION IN MALAYSIA USING ARIMA AND ARFIMA MODELS
... the integrated autoregressive moving average (ARIMA), generalize autoregressive conditional heteroscedasticity (GARCH) and Census X-II models to predict the Moroccan coastal fish ...and fractionally ...
12
Long Memory in Stock Market Volatility:Evidence from India
... Long memory in variance or volatility refers to a slow hyperbolic decay in auto-correlation functions of the squared or log-squared returns. GARCH models extensively used in empirical analysis do not account for long ...
21
An Examination into the Structure of Freight Rates in the Shipping Freight Markets
... or fractionally integrated ...are fractionally integrated, as illustrated in Chapter 5, Bollerslev (1986)’s Generalised Autoregressive Conditional Heteroscedasticity (GARCH), Engle and ...
295
The Comparative Dynamics of Developed and Emerging Stock Markets: A Long Memory Perspective
... The paper explores the difference in efficiency between developed and emerging stock market from a long memory perspective for the period 2000 to 2015. Ten developed, and ten emerging countries were selected for the ...
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A Forecasting Model for Japan's Unemployment Rate
... This note aims to achieve a parsimonious fractionally-integrated autoregressive and moving average (ARFIMA) model for recent time series data of Japan's unemployment rate. A brief review of the ARFIMA model ...
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Time varying and dynamic correlation among oil and natural gas prices: Multivariate long memory approach
... The data comprises daily crude oil prices (WTI and BRENT) and natural gas (Henryhub). All data are sourced from the (http//www.eia.com). The sample covers a period from January 01, 2004 until February 26, 2015, leading ...
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Forecasting Liquidity Ratio of Commercial Banks in Nigeria
... autoregressive fractionally integrated moving average (ARFIMA) model was proposed and was used for modeling and forecasting of liquidity ratio of commercial banks in ...
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