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Estimating long-range dependence: finite sample properties and confidence intervals

Weron, Rafał - In: Physica A: Statistical Mechanics and its Applications 312 (2002) 1, pp. 285-299

A major issue in financial economics is the behavior of asset returns over long horizons. Various estimators of long-range dependence have been proposed. Even though some have known asymptotic properties, it is important to test their accuracy by using simulated series of different lengths. We...

Persistent link: https://www.econbiz.de/10011064581

Empirical study of ARFIMA model based on fractional differencing

Xiu, Jin; Jin, Yao - In: Physica A: Statistical Mechanics and its Applications 377 (2007) 1, pp. 138-154

In this paper, we studied the long-term memory of Hong Kong Hang Sheng index using MRS analysis, established ARFIMA model for it, and detailed the procedure of fractional differencing. Furthermore, we compared the ARFIMA model built by this means with the one that took first-order differencing...

Persistent link: https://www.econbiz.de/10010588698

Optimal univariate expectations under high and persistent inflation: new evidence from Turkey

Us, Vuslat; Ozcan, Kıvılcım Metin - In: Physica A: Statistical Mechanics and its Applications 346 (2005) 3, pp. 499-517

The poor performance of sticky-price models with rational expectations in explaining the inflationary inertia in the US economy constitutes the basis for sticky-price models of near-rational expectations in the recent literature. However, previous studies on inflationary inertia in Turkey not...

Persistent link: https://www.econbiz.de/10011058644

Scale-free avalanche dynamics in the stock market

Bartolozzi, M.; Leinweber, D.B.; Thomas, A.W. - In: Physica A: Statistical Mechanics and its Applications 370 (2006) 1, pp. 132-139

Self-organized criticality (SOC) has been claimed to play an important role in many natural and social systems. In the present work we empirically investigate the relevance of this theory to stock-market dynamics. Avalanches in stock-market indices are identified using a multi-scale...

Persistent link: https://www.econbiz.de/10010871560

Kernel methods and flexible inference for complex stochastic dynamics

Capobianco, Enrico - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 16, pp. 4077-4098

Approximation theory suggests that series expansions and projections represent standard tools for random process applications from both numerical and statistical standpoints. Such instruments emphasize the role of both sparsity and smoothness for compression purposes, the decorrelation power...

Persistent link: https://www.econbiz.de/10010873605

Masking properties of APD communication systems

Fernandez, J.G.; Larrondo, H.A.; Slavin, H.A.; Levin, D.G. - In: Physica A: Statistical Mechanics and its Applications 328 (2003) 3, pp. 351-359

structures. In a recent paper the capability of wavelets to unmask a message, in cases where a chaotic signal is just added to … with the chaotic signal, is studied here. A representative case employing Daubechies wavelets and a typical Rossler …-oscillator-based communication system is reported. Using a time scaling parameter modifies the spectrum of the mask. The results show that wavelets …

Persistent link: https://www.econbiz.de/10010874519

Multiscale analysis from turbulent time series with wavelet transform

Rodrigues Neto, C; Zanandrea, A; Ramos, F.M; Rosa, R.R; … - In: Physica A: Statistical Mechanics and its Applications 295 (2001) 1, pp. 215-218

We present a multiscale signal analysis based on the multifractal spectrum obtained by the Wavelet Transform Modulus Maxima technique. We analyze time series from turbulent data: the first step is to obtain the PDF of the flutuations for velocities records and then to fit them by means of the...

Persistent link: https://www.econbiz.de/10011057480

Slight parameter changes detection in biological models: a multiresolution approach

Añino, M.M.; Torres, M.E.; Schlotthauer, G. - In: Physica A: Statistical Mechanics and its Applications 324 (2003) 3, pp. 645-664

This paper deals with the automatic detection of slight parameter changes from the analysis of signals generated by nonlinear biological systems. The interest is focused here on investigating particular aspects of the relation between signal analysis and systems dynamics, involving the automatic...

Persistent link: https://www.econbiz.de/10011057808

Using wavelets to decompose the time–frequency effects of monetary policy

Aguiar-Conraria, Luís; Azevedo, Nuno; Soares, Maria Joana - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 12, pp. 2863-2878

Central banks have different objectives in the short and long run. Governments operate simultaneously at different timescales. Many economic processes are the result of the actions of several agents, who have different term objectives. Therefore, a macroeconomic time series is a combination of...

Persistent link: https://www.econbiz.de/10011058640

Relative complexity changes in time series using information measures

Torres, M.E.; Gamero, L.G. - In: Physica A: Statistical Mechanics and its Applications 286 (2000) 3, pp. 457-473

Estimation of complexity is of great interest in nonlinear signal and system analysis. Several complexity measures have been proposed: Lyapunov exponents, Lempel and Ziv, approximate entropy. In the present study, complexity measures derived from Shannon entropy,...

Persistent link: https://www.econbiz.de/10011059837