The goal of this paper is to test for the presence of long memory in final energy demand in Portugal. Our findings suggest the presence of long memory in aggregate and disaggregate energy demand in Portugal. All fractional-difference parameters are positive and lower than 0.5 indicating that the...

The capital markets across different economies have always been an extremely debated subject that represents a key point when discussing about the overall degree of performance of any economy. The main purpose of this article is to test the random walk hypothesis for the Romanian stock market...

We study how the round-off (or discretization) error changes the statistical properties of a Gaussian long memory process. We show that the autocovariance and the spectral density of the discretized process are asymptotically rescaled by a factor smaller than one, and we compute exactly this...

The present work attempts to evaluate the advantages inherent to the use of exogenous variables highly correlated to the electric load, for the forecast of future demand. Here we utilize time series models of the auto-regressive moving average types incorporating seasonal treatment and exogenous...

Standard estimation of ARMA models in which the AR and MA roots nearly cancel, so that individual coefficients are only weakly identified, often produces inferential ranges for individual coefficients that give a spurious appearance of accuracy. We remedy this problem with a model that uses a...

We introduce a new class of models that has both stochastic volatility and moving average errors, where the conditional mean has a state space representation. Having a moving average component, however, means that the errors in the measurement equation are no longer serially independent, and...

This work develops likelihood-based unit root tests in the noncausal autoregressive (NCAR) model formulated by Lanne and Saikkonen (2011, Journal of Time Series Econometrics 3, Iss. 3, Article 2). The possible unit root is assumed to appear in the causal autoregressive polynomial and for reasons...