Search Results - subject:"Spectral density"

Explosive episodes and time-varying volatility : a new MARMA-GARCH model applied to cryptocurrencies

Hecq, Alain W. J.; Velasquez-Gaviria, Daniel - In: Econometrics : open access journal 13 (2025) 2, pp. 1-25

Financial assets often exhibit explosive price surges followed by abrupt collapses, alongside persistent volatility clustering. Motivated by these features, we introduce a mixed causal-noncausal invertible-noninvertible autoregressive moving average generalized autoregressive conditional...

Persistent link: https://www.econbiz.de/10015437136

Spectral estimation for mixed causal-noncausal autoregressive models

Hecq, Alain W. J.; Velásquez-Gaviria, Daniel - In: Econometric reviews 44 (2025) 7, pp. 939-962

Persistent link: https://www.econbiz.de/10015554875

On the spectral density of fractional Ornstein-Uhlenbeck processes

Shi, Shuping; Yu, Jun; Zhang, Chen - In: Journal of econometrics 245 (2024) 1/2, pp. 1-28

Persistent link: https://www.econbiz.de/10015553749

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

Long-memory models are frequently used in finance and other fields to capture long-range dependence in time series data. However, correctly identifying whether a process has long memory is crucial. This paper highlights a significant limitation in using the sample autocorrelation function (ACF)...

Persistent link: https://www.econbiz.de/10014335857

Factorization of a spectral density with smooth eigenvalues of a multidimensional stationary time series

Szabados, Tamás - In: Econometrics : open access journal 11 (2023) 2, pp. 1-11

density. A spectral density with smooth eigenvalues and H∞ eigenvectors gives an explicit method to factorize the spectral …The aim of this paper to give a multidimensional version of the classical one-dimensional case of smooth spectral … density and compute the Wold representation of a weakly stationary time series. A formula, similar to the Kolmogorov …

Persistent link: https://www.econbiz.de/10014362622