Long Memory
Modeling Long Memory in REITs
... the long memory property and measures the magnitude of the fractional integration ...two long memory volatility models, Fractionally Integrated GARCH (FIGARCH) and Fractionally Integrated ...
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Long memory and non linearity in Stock Markets
... While studies focusing on the non-stationarity of time series have dominated the literature, increasingly attention is focusing on the issue of whether series that appear integrated of order > 0 are actually ...
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Bayesian Wavelet Estimation Of Long Memory Parameter
... the long-memory parameter d and variance σ 2 of a stationary long-memory I(d) process implemented in the MATLAB computing environment and the WinBUGS software ...
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Attribution in the presence of a long-memory climate response
... to long-range memory (LRM) in the model for the temperature ...a long-memory response to a strong radiative disequilibrium during the Medieval Warm Anomaly, and it is not attributed to the low ...
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Tempting long-memory – on the interpretation of DFA results
... for long-memory. However, we alternatively study if long-memory can be ...the long-memory ...a long-memory ...short- memory model describes the data better ...
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Long Memory and Spurious Breaks in Ecological Experiments
... Murtaugh [14] [15] and Stewart-Oaten [16] debated the effectiveness of the BACI and RIA designs. However, their points concerned incorrect specification of the process mean structure and not the process autocorrelation ...
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Distinguishing short and long memory volatility specifications
... Figure 6 shows the logarithm of the periodogram of the 4-hour realized volatility series from January 1, 1993 to December 31, 1994. Periodicity can be found at the daily frequency (and its harmonics) which can be ...
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Seasonal and cyclical long memory in time series
... for long memory processes th a t is robust against the presence of ...for long memory models with a spectral pole at zero frequency but it seems it can be done by avoiding the spectral ...
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Nonlinear long memory models with applications in finance
... representation of a stationary autoregressive moving average sequence) but as in Chapter 2, we can choose the otj to impart long memory to ht and yt- As has already been observed (cf. section 1.1.5), an ...
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Consequences for option pricing of a long memory in volatility
... and long memory specifications that can be seen by comparing Figures 2 and ...the long memory term structures can and do intersect because the volatility process is not ...
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Indirect Estimation of Long Memory Volatility Models
... that long memory is a relevant factor to be taken into consideration; see for example, Ding, Granger and Engle (1993), Ding and Granger (1996), Bollerslev and Mikkelsen (1996), and also Engle and Bollerslev ...
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The Long Memory Behavior of the EUR/USD Forward Premium
... Table 1 shows that 1-year forward premium has the highest standard deviation of all forward premium series. On the other side, the highest mean and median values are attributed to 1-month forward premium. However, the ...
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Long memory estimation for complex-valued time series
... for long-range behaviour of real- valued processes shows that persistence is often charac- terized by a parameter, such as the Hurst exponent, H , introduced to the literature by Hurst (1951) in hydrol- ogy and ...
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Long memory and changepoint models:a spectral classification procedure
... In this paper we consider the ambiguity be- tween long memory and changepoint models. This ambiguity has been documented in fields such as Finance and Economics which are mod- elled using long ...
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Long memory estimation for complex valued time series
... lution is to combine the two pieces of information into a single, complex-valued series and analyse its proper- ties (Mandic and Goh, 2009). Adopting this approach thus calls for analysis techniques capable of dealing ...
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Estimating DGSE models with long memory dynamics
... take long memory into ...by long memory and persistent ...from long memory; this ensures that shocks are AR(1) with no more information left over in the ...
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Semiparametric estimation in perturbed long memory series
... the memory parameter in perturbed long memory series has re- cently attracted attention motivated especially by the strong persistence of the volatility in many financial and economic time series and ...
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The Existence of Long Memory Property in OPEC Oil Prices
... on memory property the defaults of R/S statistic were ...term memory and ...of long memory property in time ...of long memory against the existence of this property in the time ...
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Long Memory Analysis: An Empirical Investigation
... of long memory feature in Tehran Stock Exchange Price Index return, paying attention to this fact can help improve the results of modeling and consequently economic predictions because this feature suggests ...
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Long Memory in the Housing Price Indices in China
... One characteristic of many economic and financial time series is the nonstationary nature. There exists a variety of models to describe such nonstationarity. Until the 1980s a standard approach was to impose a ...
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