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Nonfractional long-range dependence : long memory, antipersistence, and aggregation

Vera-Valdés, J. Eduardo - In: Econometrics : open access journal 9 (2021) 4, pp. 1-18

This paper used cross-sectional aggregation as the inspiration for a model with long-range dependence that arises in …

Persistent link: https://www.econbiz.de/10012697497

Temperature anomalies, long memory, and aggregation

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

-sectional aggregation. Nonetheless, formal analysis regarding the effect that aggregation has on the long memory dynamics of temperature … aggregation may be exacerbating the long memory estimated in regional and global temperature data. The results are robust to the …

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

Temporal aggregation and long memory for asset price volatility

Perron, Pierre; Shi, Wendong - In: Journal of risk and financial management : JRFM 13 (2020) 8/182, pp. 1-18

The effects of temporal aggregation and choice of sampling frequency are of great interest in modeling the dynamics of … asset price volatility. We show how the squared low-frequency returns can be expressed in terms of the temporal aggregation … of a high-frequency series. Based on the theory of temporal aggregation, we provide the link between the spectral density …

Persistent link: https://www.econbiz.de/10012321959

Convergence CO2 emission in ASEAN countries : augmented Green Solow Model approach

Gunanto, Edy Yusuf Agung; Wahyu, Tri; Aminata, Jaka; … - In: International Journal of Energy Economics and Policy : IJEEP 11 (2021) 5, pp. 572-578

Persistent link: https://www.econbiz.de/10012704685

Bayesian inference for long memory stochastic volatility models

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

offers the advantages of reduced computational complexity and the mitigation of posterior convergence issues. We employ this …

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

Analysis of precious metal price movements using long memory model and fuzzy time series Markov Chain

Arif, Erman; Devianto, Dodi; Yollanda, Mutia; Afrimayani - In: International Journal of Energy Economics and Policy : IJEEP 12 (2022) 6, pp. 202-214

Persistent link: https://www.econbiz.de/10014231095

Quantitative methods for economics and finance

Trinidad Segovia, Juan Evangelista (ed.); … - 2021

This book is a collection of papers for the Special Issue "Quantitative Methods for Economics and Finance" of the journal Mathematics. This Special Issue reflects on the latest developments in different fields of economics and finance where mathematics plays a significant role. The book gathers...

Persistent link: https://www.econbiz.de/10012586869

Pitfalls in long memory research

Saha, Kunal; Madhavan, Vinodh; Chandrashekhar, G. R. - In: Cogent economics & finance 8 (2020) 1, pp. 1-14

This paper offers a multifaceted perspective of the literature on long memory. Although the research on long memory has played an instrumental role in elevating the level of scholarly discourse on market efficiency, the authors believe that the issue of the prevalence of long memory or lack...

Persistent link: https://www.econbiz.de/10012219328

Long-lasting economic effects of pandemics : evidence on growth and unemployment

Rodríguez-Caballero, C. Vladimir; Vera-Valdés, J. Eduardo - In: Econometrics : open access journal 8 (2020) 3/37, pp. 1-16

This paper studies long economic series to assess the long-lasting effects of pandemics. We analyze if periods that cover pandemics have a change in trend and persistence in growth, and in level and persistence in unemployment. We find that there is an upward trend in the persistence level of...

Persistent link: https://www.econbiz.de/10012295989

Long memory in the energy consumption by source of the United States: fractional integration, seasonality effect and structural breaks

Adekoya, Oluwasegun B. - In: Estudios de economía 47 (2020) 1, pp. 31-48

In this paper, long memory behavior of the energy consumption by source of the United States has been examined using the fractional integration technique for the three conventional cases of no regressors, an intercept, and an intercept and a linear trend. In addition, this study extends majority...

Persistent link: https://www.econbiz.de/10012268193