Search Results - subject:"long–memory"

Bayesian inference for long memory stochastic volatility models

Chaim, Pedro; Laurini, Márcio Poletti - In: Econometrics : open access journal 12 (2024) 4, pp. 1-28

volatility models characterized by long memory. The logarithmic variance persistence in these models is represented by a …

Persistent link: https://www.econbiz.de/10015272743

Persistence in high frequency financial data : the case of the EuroStoxx 50 futures prices

Caporale, Guglielmo Maria; Plastun, Alex - In: Cogent economics & finance 12 (2024) 1, pp. 1-9

Differences in the behaviour of asset prices depending on data frequency have not been thoroughly investigated in the literature despite their possible importance. In particular, high-frequency data might contain more information about financial assets because they are updated more rapidly in...

Persistent link: https://www.econbiz.de/10015394356

Testing for periodicity at an unknown frequency under cyclic long memory, with applications to respiratory muscle training

Beran, Jan; Näscher, Jeremy; Pietsch, Fabian; … - In: AStA Advances in Statistical Analysis 108 (2024) 4, pp. 705-731

the same frequency, consistency and rates of type II error probabilities depend on the long-memory parameter. Simulations … particularly difficult task is to distinguish deterministic periodic signals from periodic long memory. In this paper, a family of … bounds for the asymptotic power are derived. In cases where a deterministic periodic signal and periodic long memory share …

Persistent link: https://www.econbiz.de/10015361328

Persistence in tax revenues : evidence from some OECD countries

Caporale, Guglielmo Maria; García Tapia, Silvia; … - In: Journal of quantitative economics 22 (2024) 2, pp. 475-491

Persistent link: https://www.econbiz.de/10015185215

Consumer sentiments across G7 and BRICS economies : are they related?

Gil-Alaña, Luis A.; Abakah, Emmanuel Joel Aikins; … - In: Journal of economics and finance : JEF 48 (2024) 2, pp. 323-344

Persistent link: https://www.econbiz.de/10015097311

An adaptive long memory conditional correlation model

Dark, Jonathan - In: Journal of empirical finance 75 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014491877

Rastreando la trayectoria de los precios de la quinua en Bolivia : quiebres estructurales y persistencia de choques

Aliaga Lordemann, Javier; Garrón Vedia, Ignacio; Lenis … - 2024

the estimation of the long memory through the 2ELW estimator. Additionally, the influence of exogenous variables that …

Persistent link: https://www.econbiz.de/10014551309

Tracking the trend of quinoa price in Bolivia : structural breaks and persistence of shocks

Aliaga Lordemann, Javier; Garrón Vedia, Ignacio; Lenis … - 2024

the structural breaks by means of the Bai and Perron contrast, together with estimates of long memory using the 2ELW …

Persistent link: https://www.econbiz.de/10014551311

An econometric analysis of volatility discovery

Dias, Gustavo Fruet; Papailias, Fotis; Scherrer, Cristina - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 1095-1106

Persistent link: https://www.econbiz.de/10015053535

Do clean and dirty cryptocurrencies connect financial assets differently? : the perspective of market inefficiency

Duan, Kun; Zhang, Liya; Urquhart, Andrew; Yao, Kai; … - In: Research in international business and finance 70 (2024) 2, pp. 1-15

Persistent link: https://www.econbiz.de/10015055821