Search Results - subject:"long–memory"

Optimal forecasts in the presence of discrete structural breaks under long memory

Mboya, Mwasi Paza; Sibbertsen, Philipp - In: Journal of forecasting 42 (2023) 7, pp. 1889-1908

Persistent link: https://www.econbiz.de/10014432798

Hybrid ARDL-MIDAS-Transformer time-series regressions for multi-topic crypto market sentiment driven by price and technology factors

Chalkiadakis, Ioannis; Peters, Gareth; Ames, Matthew - In: Digital finance : smart data analytics, investment … 5 (2023) 2, pp. 295-365

Persistent link: https://www.econbiz.de/10014369259

Trends and persistence in the Greenland ice sheet mass

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Sauci, Laura - 2023

This paper examines trends and persistence in the Greenland ice sheet mass by applying fractional integration methods to a dataset constructed by Mankoff et al. (2020) on ice discharge for seven different regions of Greenland. The adopted empirical framework encompasses a wide range of...

Persistent link: https://www.econbiz.de/10014313431

Asymptotic theory for explosive fractional Ornstein-Uhlenbeck processes

Jiang, Hui; Pan, Yajuan; Liao, Weilin; Yang, Qingshan; … - 2023

Persistent link: https://www.econbiz.de/10014320455

Long memory cointegration and dynamic connectedness of volatility in US dollar exchange rates, with FOREX portfolio investment strategy

Ajao, Isaac O.; Olayinka, Hammed A.; Olugbode, Moruf A.; … - In: Quantitative finance and economics 7 (2023) 4, pp. 646-664

Persistent link: https://www.econbiz.de/10015125396

Profitability of private equity : mean reversion and transitory shocks

Gil-Alaña, Luis A.; Puertolas-Montanes, Francisco - In: Journal of economics and finance : JEF 47 (2023) 2, pp. 458-471

Persistent link: https://www.econbiz.de/10014252694

The persistence of economic sentiment : a trip down memory lane

Sorić, Petar; Lolić, Ivana; Matošec, Marina - In: Journal of economic interaction and coordination 18 (2023) 2, pp. 371-395

Persistent link: https://www.econbiz.de/10014253294

A hybrid approach for forecasting bitcoin series

Mtiraoui, Amine; Boubaker, Heni; BelKacem, Lotfi - In: Research in international business and finance 66 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014463373

Approximating long-memory processes with low-order autoregressions : implications for modeling realized volatility

Baillie, Richard; Cho, Dooyeon; Rho, Seunghwa - In: Empirical economics : a quarterly journal of the … 64 (2023) 6, pp. 2911-2937

Persistent link: https://www.econbiz.de/10014329017

Efficiency dynamics across segmented Bitcoin markets : evidence from a decomposition strategy

Duan, Kun; Gao, Yang; Mishra, Tapas; Satchell, Stephen - In: Journal of international financial markets, … 83 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014306399

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