Search Results - subject:"Long Memory."

Long Memory, Spurious Memory: Persistence in Range-Based Volatility of Exchange Rates

Afzal, Alia; Sibbertsen, Philipp - In: Open Economies Review 34 (2022) 4, pp. 789-811

This study considers the long memory and fractional integration in the range-based volatilities across 30 currencies … long memory. The hypothesis of long memory against the alternative of spurious memory is also tested by applying the …

Persistent link: https://www.econbiz.de/10015271520

Parametric estimation of long memory in factor models

Ergemen, Yunus Emre - 2022

Persistent link: https://www.econbiz.de/10013367389

Inflation in the G7 countries : persistence and structural breaks

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - In: Journal of economics and finance : JEF 46 (2022) 3, pp. 493-506

Persistent link: https://www.econbiz.de/10013442202

Persistence in ESG and conventional stock market indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Journal of economics and finance : JEF 46 (2022) 4, pp. 678-703

Persistent link: https://www.econbiz.de/10013442222

Improvement in Hurst exponent estimation and its application to financial markets

Gómez-Águila, A.; Trinidad Segovia, Juan Evangelista; … - In: Financial innovation : FIN 8 (2022), pp. 1-21

This research aims to improve the efficiency in estimating the Hurst exponent in financial time series. A new procedure is developed based on equality in distribution and is applicable to the estimation methods of the Hurst exponent. We show how to use this new procedure with three of the most...

Persistent link: https://www.econbiz.de/10013413110

Persistence in high frequency financial data

Caporale, Guglielmo Maria; Plastun, Alex - 2022

This paper investigates persistence in high-frequency, intraday data (and also daily and monthly ones) in the case of the EuroStoxx 50 futures over the period from 2002 to 2018 (720 million trade records) using R/S analysis and the Hurst exponent as a measure of persistence. The results indicate...

Persistent link: https://www.econbiz.de/10013419363

ARFURIMA models: simulations of their properties and application

Jibrin, Sanusi Alhaji; Rahman, Rosmanjawati Abdul - In: Statistics in transition : an international journal of … 23 (2022) 2, pp. 69-87

This article defines the Autoregressive Fractional Unit Root Integrated Moving Average (ARFURIMA) model for modelling ILM time series with fractional difference value in the interval of 1൏𝑑൏2. The performance of the ARFURIMA model is examined through a Monte Carlo simulation. Also, some...

Persistent link: https://www.econbiz.de/10013419429

Does volatility in cryptocurrencies drive the interconnectedness between the cryptocurrencies market? : insights from wavelets

Agyei, Samuel Kwaku; Adam, Anokye M.; Bossman, Ahmed; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-34

investment horizons. Furthermore, the comovements between the cryptocurrencies designate long memory dynamics. The high …

Persistent link: https://www.econbiz.de/10013460244

Estimation and testing in a perturbed multivariate long memory framework

Less, Vivien; Sibbertsen, Philipp - 2022

generalised by an additional constant to capture the perturbation given in the long memory process. Explicitly addressing the … long memory under a perturbed fractional framework. The test statistic is based on the weighted sum of the partial …

Persistent link: https://www.econbiz.de/10014247836

Optimal forecasts in the presence of discrete structural breaks under long memory

Mboya, Mwasi Paza; Sibbertsen, Philipp - 2022

We develop methods to obtain optimal forecast under long memory in the presence of a discrete structural break based on … performance under long memory. We further present an empirical application to in inflation rates that emphasizes the importance of …

Persistent link: https://www.econbiz.de/10014247842