Search Results - subject:"periodicity"

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

A frequent problem in applied time series analysis is the identification of dominating periodic components. A particularly difficult task is to distinguish deterministic periodic signals from periodic long memory. In this paper, a family of test statistics based on Whittle’s Gaussian...

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

Testing the zero-process of intraday financial returns for non-stationary periodicity

Stauskas, Ovidijus; Sucarrat, Genaro - In: Journal of financial econometrics 23 (2025) 3, pp. 1-27

Persistent link: https://www.econbiz.de/10015425432

Are intraday returns autocorrelated?

Li, Yufei; Giraitis, Luidas; Sucarrat, Genaro - 2025

-stationarity that cannot be transformed away, namely non-stationary periodicity in the zero-process. Here, we propose tests for …

Persistent link: https://www.econbiz.de/10015441089

Realized normal volatility and maximum outlying jumps in high frequency returns for Korean won-US Dollar

Chae-Deug, Yi - In: International review of financial analysis 95 (2024) 1, pp. 1-12

Persistent link: https://www.econbiz.de/10015145287

Intraday and daily dynamics of cryptocurrency

Jasiak, Joann; Zhong, Cheng - In: International review of economics & finance : IREF 96 (2024) 2, pp. 1-33

Persistent link: https://www.econbiz.de/10015211803

Deep LPPLS : forecasting of temporal critical points in natural, engineering and financial systems

Nielsen, Joshua; Sornette, Didier; Raissi, Maziar - 2024

Persistent link: https://www.econbiz.de/10014543723

No reward-no effort : will Bitcoin collapse near to the year 2140?

Grobys, Klaus - In: Finance research letters 63 (2024), pp. 1-8

Persistent link: https://www.econbiz.de/10014531281

Volatility and jump with intraday periodicity and truncated power variation in Chinese yuan-US dollar exchange rates

Yi, Chae-Deug - In: Asia-Pacific journal of accounting & economics : … 32 (2025) 3, pp. 418-436

Persistent link: https://www.econbiz.de/10015415077

Social mobility and political stability

Lyu, Weicheng - In: European journal of political economy 87 (2025), pp. 1-19

Persistent link: https://www.econbiz.de/10015422745

The effect of intraday periodicity on realized volatility measures

Dette, Holger; Golosnoy, Vasyl; Kellermann, Janosch - In: Metrika 86 (2022) 3, pp. 315-342

discrete-time stochastic model with a pronounced intraday periodicity (IP). We demonstrate that neglecting the IP-impact on …

Persistent link: https://www.econbiz.de/10015166148