Search Results - subject:"Long Memory."

Semi-parametric procedures for Unit root and fractional cointegration tests

Valderio A. Reisen, DEST-UFES, Brazil; Santander, Luz A. M. - Society for Computational Economics - SCE - 2004

This paper considers the use of the long-memory, semi-parametric estimators to test unit-root and non …

Persistent link: https://www.econbiz.de/10005345270

An empirical investigation of Australian Stock Exchange data

Bertram, William K - In: Physica A: Statistical Mechanics and its Applications 341 (2004) C, pp. 533-546

and the existence of long memory. A method is presented allowing us to deal with Australian Stock Exchange data by … plots we find there to be a strong indication of long-memory type behaviour in the absolute return, volume and transaction …

Persistent link: https://www.econbiz.de/10010588533

Modelling the Japanese Exchange Rate in Terms of I(d) Statistical Models with Parametric and Semiparametric Techniques

Gil-Alana, Luis A. - In: International Journal of Business and Economics 3 (2004) 2, pp. 123-138

the context of cointegration) may lead to spurious results, the series still having a component of long memory behaviour. …

Persistent link: https://www.econbiz.de/10010600168

Cross-Sectional Heterogeneity and the Persistence of Aggregate Fluctuations

Michelacci, Claudio - C.E.P.R. Discussion Papers - 2004

a result, shocks are absorbed, yet at a very low decreasing rate that induces long memory in aggregate output. I argue …

Persistent link: https://www.econbiz.de/10005114433

Shaking the tree : an agency-theoretic model of asset pricing

Shorish, Jamsheed; Spear, Stephen E. - In: Essays in dynamic general equilibrium theory ; …, (pp. 243-265). 2004

Persistent link: https://www.econbiz.de/10002576152

Fractional integration and business cycle features

Candelon, Bertrand; Gil-Alaña, Luis A. - In: Empirical economics : a journal of the Institute for … 29 (2004) 2, pp. 343-359

Persistent link: https://www.econbiz.de/10002080025

Long memory in volatilities of German stock returns

Sibbertsen, Philipp - In: Empirical economics : a journal of the Institute for … 29 (2004) 3, pp. 477-488

Persistent link: https://www.econbiz.de/10002222104

Fractional Integration with Bloomfield Disturbances in the Specification of Real Output in the G7 Countries

Gil-Alana, Luis A - In: Topics in Macroeconomics 3 (2003) 1

) stationary residuals may lead to series still with a component of long memory behaviour. The possibility of a structural change …

Persistent link: https://www.econbiz.de/10014588365

Is Long Memory a Property of Thin Stock Markets? International Evidence Using Arab Countries

Limam, Imed - In: Review of Middle East Economics and Finance 1 (2003) 3, pp. 56-71

The paper analyzes the long memory property of stock index returns in 14 markets with diverse levels of development … returns tend to be associated with relatively thin stock markets. Evidence from the Arab countries seems to suggest that long-memory …

Persistent link: https://www.econbiz.de/10014618724

Testing of unit roots and other fractionally integrated hypotheses in the presence of structural breaks

Gil-Alana, Luis A. - In: Empirical Economics 28 (2003) 1, pp. 101-113

Tests of unit roots and other nonstationary hypotheses that were proposed by Robinson (1994) are applied in this article to the Nelson and Plosser's (1982) series. The tests can be expressed in a way allowing for structural breaks under both the null and the alternative hypotheses. When applying...

Persistent link: https://www.econbiz.de/10005382147