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  • Search: subject:"Long memory process"
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Year of publication
Subject
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Long memory process 10 Autoregressive fractionally integrated moving average model 8 Generalised autoregressive conditional heteroskedasticity model 8 Periodic autoregressive model 8 Volatility 7 ARMA-Modell 4 Long-memory process 4 Strompreis 4 Time series analysis 4 Zeitreihenanalyse 4 ARCH-Modell 3 ARMA model 3 Autocorrelation 3 Autokorrelation 3 Estimation theory 3 India 3 Schätztheorie 3 Volatilität 3 long memory process 3 ARCH model 2 Electricity price 2 Heteroskedastizität 2 Long-term dependence 2 Marketing 2 Tourism Market 2 forecasting 2 structural break 2 ARFIMA model 1 Business and consumer surveys 1 Consumer behaviour 1 Consumer confidence index 1 EU-Staaten 1 Economic sentiment 1 Estimation 1 FIAPARCH errors 1 Fractional Integration 1 Fractional integration 1 Frühindikator 1 Generalised autoregressive conditional heteroscedasticity model 1 Great moderation era 1
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Online availability
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Free 20 CC license 1
Type of publication
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Book / Working Paper 15 Article 5
Type of publication (narrower categories)
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Working Paper 4 Arbeitspapier 2 Article in journal 2 Aufsatz in Zeitschrift 2 Graue Literatur 2 Non-commercial literature 2
Language
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Undetermined 11 English 9
Author
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Carnero, M. Angeles 8 Koopman, Siem Jan 8 Ooms, Marius 8 Balogh, Peter 3 Chaiboonsri, Chukiat 3 Chaitip, Prasert 3 Boutahar, Mohamed 2 HSIAO, Cheng 2 Kovacs, Sandor 2 Nanamiya, Kei 2 Sriboonchitta, Songsak 2 WANG, Shin-Huei 2 Aloy, Marcel 1 BAUWENS, Luc 1 Belkhouja, Mustapha 1 Boubaker, Heni 1 Gente, Karine 1 Hassani, Hossein 1 Lolić, Ivana 1 Marvian, Leila 1 Matošec, Marina 1 Mootamri, Imene 1 Peguin-Feissolle, Anne 1 Sghaier, Nadia 1 Sorić, Petar 1 Yarmohammadi, Masoud 1
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Institution
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Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 2 HAL 2 Institute of Economic Research, Hitotsubashi University 2 Tinbergen Institute 2 Tinbergen Instituut 2 Institut de Préparation à l'Administration et à la Gestion (IPAG) 1
Published in...
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Tinbergen Institute Discussion Papers 4 APSTRACT: Applied Studies in Agribusiness and Commerce 2 CORE Discussion Papers 2 Discussion paper / Tinbergen Institute 2 Global COE Hi-Stat Discussion Paper Series 2 Tinbergen Institute Discussion Paper 2 Working Papers / HAL 2 Annals of the University of Petrosani, Economics 1 Journal of economic interaction and coordination 1 Risks : open access journal 1 Working Papers / Institut de Préparation à l'Administration et à la Gestion (IPAG) 1
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Source
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RePEc 14 ECONIS (ZBW) 4 EconStor 2
Showing 1 - 10 of 20
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Uncovering hidden insights with long-memory process detection : an in-depth overview
Hassani, Hossein; Yarmohammadi, Masoud; Marvian, Leila - In: Risks : open access journal 11 (2023) 6, pp. 1-15
definition of a long-memory process, it is not possible to determine long memory by summing the sample ACFs. Hassani's − 1 … discrepancies between the empirical and theoretical use of a long-memory process are evident, based on real and simulated time …
Persistent link: https://www.econbiz.de/10014335857
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The persistence of economic sentiment : a trip down memory lane
Sorić, Petar; Lolić, Ivana; Matošec, Marina - In: Journal of economic interaction and coordination 18 (2023) 2, pp. 371-395
Persistent link: https://www.econbiz.de/10014253294
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Semiparametric Generalized Long Memory Modelling of GCC Stock Market Returns: A Wavelet Approach
Boubaker, Heni; Sghaier, Nadia - Institut de Préparation à l'Administration et à la … - 2014
This paper proposes a new class of semiparametric generalized long memory model with FIA- PARCH errors (SEMIGARMA-FIAPARCH model) that extends the conventionnel GARMA model to incorporate nonlinear deterministic trend, in the mean equation, and to allow for time varying volatility, in the...
Persistent link: https://www.econbiz.de/10010754787
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Modelling for the Wavelet Coefficients of ARFIMA Processes
Nanamiya, Kei - Institute of Economic Research, Hitotsubashi University - 2013
We consider the model for the discrete nonboundary wavelet coefficients of ARFIMA processes. Although many authors have explained the utility of the wavelet transform for the long dependent processes in semiparametrical literature, there have been a few studies in parametric setting. In this...
Persistent link: https://www.econbiz.de/10010633048
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Forecasting long memory processes subject to structural breaks
WANG, Shin-Huei; BAUWENS, Luc; HSIAO, Cheng - Center for Operations Research and Econometrics (CORE), … - 2012
We develop an easy-to-implement method for forecasting a stationary autoregressive fractionally integrated moving average (ARFIMA) process subject to structural breaks with unknown break dates. We show that an ARFIMA process subject to a mean shift and a change in the long memory parameter can...
Persistent link: https://www.econbiz.de/10010927723
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The Wavelet-based Estimation for Long Memory Signal Plus Noise Models
Nanamiya, Kei - Institute of Economic Research, Hitotsubashi University - 2011
We propose new wavelet-based procedure to estimate the memory parameter of an unobserved process from an observed process affected by noise in order to improve the performance of the estimator by taking into account the dependency of the wavelet coefficients of long memory processes. In our...
Persistent link: https://www.econbiz.de/10009421787
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Purchasing power parity and the long memory properties of real exchange rates: does one size fit all?
Aloy, Marcel; Boutahar, Mohamed; Gente, Karine; … - HAL - 2011
or a long memory process. The main results are as follows. Firstly, most of the bilateral real exchange rates under study …
Persistent link: https://www.econbiz.de/10008805564
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ON TESTS FOR LONG MEMORY PROCESS BEHAVIOR OF INTERNATIONAL TOURISM MARKET: THAILAND AND INDIA
Sriboonchitta, Songsak; Chaitip, Prasert; Balogh, Peter; … - In: APSTRACT: Applied Studies in Agribusiness and Commerce 05 (2011)
long-memory process such as R/S test, Modified R/S test and GPH-test are employed to study these markets. The empirical … findings in general provide more support for long memory process in international tourism market of Thailand and evidence for … understand the behaviour of long memory process in international tourism market before launching any stimulating campaign to this …
Persistent link: https://www.econbiz.de/10009132422
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ON TESTS FOR LONG-TERM DEPENDENCE: INDIA’S INTERNATIONAL TOURISM MARKET
Chaitip, Prasert; Balogh, Peter; Kovacs, Sandor; … - In: APSTRACT: Applied Studies in Agribusiness and Commerce 05 (2011)
There have been growing interest in studying behavior of long memory process in tourism market. In this research …. Moreover, three statistical tests for long memory process such as R/S test, Modified R/S test and GPH-test are employed to test … in these market. The empirical findings in general provide more support for no long memory process or no long …
Persistent link: https://www.econbiz.de/10009132431
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On Tests For Long-Term Dependence: India’s International Tourism Market
Chaitip, Prasert; Sriboonchitta, Songsak; Balogh, Peter; … - In: Annals of the University of Petrosani, Economics 10 (2010) 3, pp. 87-94
There has been growing interest in studying behaviour of long memory process in tourism market. In this research … Sri Lanka. Moreover, three statistical test for long-memory process such as R/S test, Modified R/S test and GPH-test are … employed to test in these markets. The empirical findings in general provide more support for no long memory process or no long …
Persistent link: https://www.econbiz.de/10008853286
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