Search Results - subject:"long–memory"

Time-varying persistence of inflation : evidence from a wavelet-based approach

Boubaker, Heni; Canarella, Giorgio; Gupta, Rangan; … - 2016

Persistent link: https://www.econbiz.de/10011547555

Generalized fractional processes with long memory and time dependent volatility revisited

Peiris, M. Shelton; Asai, Manabu - In: Econometrics : open access journal 4 (2016) 3, pp. 1-21

financial applications with long-memory. This paper revisits the class of generalized fractionally-differenced processes … generated by Gegenbauer polynomials and the ARMA structure (GARMA) with both the long-memory and time-dependent innovation …

Persistent link: https://www.econbiz.de/10011568296

Long - memory persistence in African stock markets

Gyamfi, Emmanuel Numapau; Kyei, Kwabena; Gill, Ryan - In: EuroEconomica 35 (2016) 1, pp. 83-91

Persistent link: https://www.econbiz.de/10011569442

Volatility puzzle : long memory or antipersistency

Shi, Shuping; Yu, Jun - In: Management science : journal of the Institute for … 69 (2023) 7, pp. 3861-3883

Persistent link: https://www.econbiz.de/10014338293

Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process

Wang, Xiaohu; Xiao, Weilin; Yu, Jun - In: Journal of econometrics 232 (2023) 2, pp. 389-415

Persistent link: https://www.econbiz.de/10014339985

Persistence and long run co-movements across stock market prices

Gil-Alaña, Luis A.; Infante, Juan; Martín-Valmayor, … - In: The quarterly review of economics and finance : journal … 89 (2023), pp. 347-357

Persistent link: https://www.econbiz.de/10014429885

What should be taken into consideration when forecasting oil implied volatility index?

Delis, Panagiotis; Degiannakis, Stavros; Giannopoulos, … - In: The energy journal 44 (2023) 5, pp. 231-249

Persistent link: https://www.econbiz.de/10014380730

Heterogeneity, aggregation and long memory in lottery sales : some empirical evidence for Brazil

Resende, Marcelo - In: Applied economics 55 (2023) 53, pp. 6223-6249

Persistent link: https://www.econbiz.de/10014381561

A sectoral perspective on the persistence of economic sentiment : mere transitory effect or a long run memory process

Lolić, Ivana; Sorić, Petar; Logarušić, Marija - In: Review of Keynesian economics 11 (2023) 3, pp. 328-349

Persistent link: https://www.econbiz.de/10014383461

How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate volatility? : evidence from major currencies

Wang, Xinyu; Qi, Zikang; Huang, Jianglu - In: Economic modelling 120 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014383984