Search Results - subject:"long–memory"

Price and volatility persistence of the US REITs market

Adekoya, Oluwasegun B.; Oduyemi, Gabriel O.; Oliyide, … - In: Future Business Journal 7 (2021), pp. 1-10

, but becomes less so during the crisis and post-crisis periods. In addition, evidence of mean reverting long-memory …

Persistent link: https://www.econbiz.de/10012668306

Persistence in ESG and conventional stock market indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2021

This paper uses R/S analysis and fractional integration techniques to examine the persistence of two sets of 12 ESG and conventional stock price indices from the MSCI database over the period 2007-2020 for a large number of both developed and emerging markets. Both sets of results imply that...

Persistent link: https://www.econbiz.de/10012520863

Persistence in the market risk premium : evidence across countries

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Journal of economics and finance : JEF 45 (2021) 3, pp. 413-427

Persistent link: https://www.econbiz.de/10012547070

Persistence in the private debt-t- GDP ratio : evidence from 43 OECD countries

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Applied economics 53 (2021) 43, pp. 5018-5027

Persistent link: https://www.econbiz.de/10012609922

Optimal hedge ratio in Turkish stock index futures market : a deco-fiaparch approach

Çelik, Ismail; Sak, Ahmet Furkan - In: Financial studies 25 (2021) 4, pp. 17-33

Stock Index Futures market in the presence of asymmetry and long memory. The study covers the period from May 3, 2005 until …

Persistent link: https://www.econbiz.de/10012793517

Long and short memory in dynamic term structure models

Huseynov, Salman - 2021 - This version: 3 December 2021

Persistent link: https://www.econbiz.de/10012815974

Fractional integration and cointegration

Haulde, Javier; Nielsen, Morten Ørregaard - 2021

Persistent link: https://www.econbiz.de/10012816374

Temperature anomalies, long memory, and aggregation

Vera-Valdés, J. Eduardo - In: Econometrics : open access journal 9 (2021) 1/9, pp. 1-22

memory properties. One typical explanation behind the long memory properties of temperature averages is cross …-sectional aggregation. Nonetheless, formal analysis regarding the effect that aggregation has on the long memory dynamics of temperature … data has been missing. Thus, this paper studies the long memory properties of individual grid temperatures and compares …

Persistent link: https://www.econbiz.de/10012483296

Monitoring the pandemic : a fractional filter for the COVID-19 contact rate

Hartl, Tobias - 2021

This paper aims to provide reliable estimates for the COVID-19 contact rate of a Susceptible-Infected-Recovered (SIR) model, From observable data on confirmed, recovered, and deceased cases, a noisy measurement for the contact rate can be constructed, To filter out measurement errors and...

Persistent link: https://www.econbiz.de/10013332340

Modeling, testing and forecasting persistent univariate and multivariate time-series with financial applications

Köhler, Steffen - 2021

Persistent link: https://www.econbiz.de/10013337545