Search Results - subject:"fractional integration."

Testing fractional persistence and non-linearities in the natural gas market : an application of non-linear deterministic terms based on Chebyshev polynomials in time

Yaya, OlaOluwa S.; Gil-Alaña, Luis A.; Carcel, Hector - In: Energy economics 52 (2015) 1, pp. 240-245

Persistent link: https://www.econbiz.de/10011568248

Is there long memory in Indian stock market returns? : an empirical search

Hiremath, Gourishankar S.; Kumari, Jyoti - In: Journal of Asia Pacific business 16 (2015) 2, pp. 128-145

Persistent link: https://www.econbiz.de/10011289921

An investigation of regime shifts in UK commercial property returns : a time series analysis

Coleman, Simeon; Leone, Vitor - In: Applied economics 47 (2015) 58/60, pp. 6479-6492

Persistent link: https://www.econbiz.de/10011412030

Fractional integration and asymmetric volatility in European, American and Asian bull and bear markets : application to high-frequency stock data

Yaya, OlaOluwa S.; Gil-Alaña, Luis A.; Shittu, … - In: International journal of finance & economics : IJFE 20 (2015) 3, pp. 276-290

Persistent link: https://www.econbiz.de/10011348408

Searching for long-range dependence in real effective exchange rate : towards parity?

Marques, André M.; Pesavento, Fábio - In: Estudos econômicos : publicação trimestral do … 45 (2015) 4, pp. 821-857

Persistent link: https://www.econbiz.de/10011458105

The Nature of Occupational Unemployment Rates in the United States : Hysteresis or Structural?

Candelon, Bertrand; Dupuy, Arnaud; Gil-Alana, Luis A. - Forschungsinstitut zur Zukunft der Arbeit <Bonn> - 2008

, hysteresis, structural break, fractional integration Corresponding author: Arnaud Dupuy ROA, Maastricht University P … of a structural break at unknown date in a fractional integration framework. Previous tests for structural breaks in … fractionally integrated series required the timing of the break to be known ex ante, see Gil-Alana (2002). Fractional integration …

Persistent link: https://www.econbiz.de/10005859547

Modelling long-run trends and cycles in financial time series data

Caporale, Guglielmo Maria; Cunado, Juncal; Gil-Alana, … - 2008

exhibit fractional integration with one or two poles in the spectrum. A forecasting comparison shows that a model with a non …-linear trend along with fractional integration outperforms alternative models over long horizons. …

Persistent link: https://www.econbiz.de/10010264382

Rational bubbles and fractional integration

Kruse, Robinson - 2008

persistence under fractional integration proposed by Sibbertsen and Kruse (2007). We find strong evidence for stationary long … line: on one hand they confirm the previous result of fractional integration and on the other hand they support the …

Persistent link: https://www.econbiz.de/10010265683

Modelling and forecasting multivariate realized volatility

Chiriac, Roxana; Voev, Valeri - 2008

This paper proposes a methodology for modelling time series of realized covariance matrices in order to forecast multivariate risks. The approach allows for flexible dynamic dependence patterns and guarantees positive definiteness of the resulting forecasts without imposing parameter...

Persistent link: https://www.econbiz.de/10010266934

The nature of occupational unemployment rates in the United States: hysteresis or structural?

Candelon, Bertrand; Dupuy, Arnaud; Gil-Alana, Luis - 2008

This paper provides new evidence on the nature of occupational differences in unemployment dynamics, which is relevant for the debate between the structural or hysteresis hypotheses. We develop a procedure that permits us to test for the presence of a structural break at unknown date. Our...

Persistent link: https://www.econbiz.de/10010268561