Search Results - subject:"ARFIMA process"

A test for the existence of a fractional root in a non-stationary time series

Lemus, Diego; Castaño, Elkin - In: Lecturas de Economía (2013) 78, pp. 151-184

In this work, we present a modification of the hypothesis testing procedure for the existence of long memory in the stationary and invertible ARFIMA(p,d,q) process proposed by Castaño, Gómez and Gallón (2008). This modification allows assessing the existence of a fractional root in a...

Persistent link: https://www.econbiz.de/10010902335

A generalized ARFIMA process with Markov-switching fractional differencing parameter

Tsay, Wen-Jen; Härdle, Wolfgang Karl - 2007

We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...

Persistent link: https://www.econbiz.de/10010274125

A Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter

Tsay, Wen-Jen; Härdle, Wolfgang - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

SFB 649 Discussion Paper 2007-022 A Generalized ARFIMA Process with Markov … B E R L I N A Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter Wen …: Markov chain; ARFIMA process; Viterbi algorithm; Long memory JEL classification: C14, C22, C32, C52, C53, G12 ∗This research …

Persistent link: https://www.econbiz.de/10005678044

Pricing the Weather Derivatives in the Presence of Long Memory in Temperatures

Hamisultane, Hélène - HAL - 2006

Weather derivatives are financial contracts for which the underlying is not a traded asset. Therefore, they cannot be priced by the traditional financial theory based on the hedging portfolio and on the arbitrage-free argument. Some authors suggest to use the actuarial pricing approach to value...

Persistent link: https://www.econbiz.de/10008793686