Search Results - subject:"Long Memory."

Long Memory Models and Tests for Cointegration: A Synthesizing Study

Smallwood, Aaron D; Norrbin, Stefan C - Society for Computational Economics - SCE - 2003

Persistent link: https://www.econbiz.de/10005132925

Kernel Dependent Functions in Nonparametric Regression with Fractional Time Series Errors kernel dependent function, bandwidth selection.

Feng, Yuanhua - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2003

Persistent link: https://www.econbiz.de/10005146725

Log-periodogram estimation of the memory parameter of a long-memory process under trend

Sibbertsen, Philipp - In: Statistics & Probability Letters 61 (2003) 3, pp. 261-268

We show that log-periodogram-based estimators for the memory parameter in a stationary invertible long-memory process …

Persistent link: https://www.econbiz.de/10005223793

Long Memory Inflationary Dynamics: The Case of Brazil

Reisen, Valderio; Cribari-Neto, Francisco; Jensen, Mark - In: Studies in Nonlinear Dynamics & Econometrics 7 (2003) 3, pp. 1157-1157

the inflation rate in that country and our results suggest that the inflationary dynamics are better modeled by a long … memory process than by a unit root mechanism, thus implying that there is no inertia in inflation, contrary to what has been …

Persistent link: https://www.econbiz.de/10005246285

The extraction of macromodel and origin of long-ranged correlations

Yamasaki, Kazuko; Mackin, Kenneth J. - In: Physica A: Statistical Mechanics and its Applications 324 (2003) 1, pp. 417-423

In this work, we show two main results. One is that we were able to extract the macroscopic stochastic process of returns and volumes from the microscopic stochastic process of the traders’ judgments, using a simple case market simulation. The other is that we successfully reproduced...

Persistent link: https://www.econbiz.de/10010589662

Long-range correlations and nonstationarity in the Brazilian stock market

Costa, Rogério L.; Vasconcelos, G.L. - In: Physica A: Statistical Mechanics and its Applications 329 (2003) 1, pp. 231-248

We report an empirical study of the Ibovespa index of the São Paulo Stock Exchange in which we detect the existence of long-range correlations. To analyze our data, we introduce a rescaled variant of the usual detrended fluctuation analysis that allows us to obtain the Hurst exponent through a...

Persistent link: https://www.econbiz.de/10010591428

Testing for a Unit Root Against Fractional Alternatives in the Presence of a Maintained Trend

Dolado, Juan J.; Gonzalo, Jesús; Mayoral, Laura - Barcelona Graduate School of Economics (Barcelona GSE) - 2003

used to test for long-memory in the per capita GDP of several OCDE countries. …

Persistent link: https://www.econbiz.de/10010547305

Fractional integration with Bloomfield disturbances in the specification of real output in the G7 countries

Gil-Alaña, Luis A. (contributor) - In: Topics in macroeconomics 3 (2003) 1

Persistent link: https://www.econbiz.de/10001800507

Higher-order kernel semiparametric M-estimation of long memory

Robinson, Peter M.; Henry, Marc - In: Journal of econometrics 114 (2003) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10001738912

Microeconomic Models for Long Memory in the Volatility of Financial Time Series

Kirman, Alan; Teyssière, Gilles - In: Studies in Nonlinear Dynamics & Econometrics 5 (2002) 4

(1993), can replicate the empirical long-memory properties of the two first-conditional moments of financial time series … series of absolute returns do not display a trend. Furthermore, this class of models is able to replicate the common long-memory … relative performance of these tests and estimators for long memory in a nonstandard data-generating process is then assessed. …

Persistent link: https://www.econbiz.de/10014620854