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   Articles with "fractional integration" as a keyword



Financial stress spillover across Asian Countries

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recommendations! Published in 2020 at "Review of Financial Economics"

DOI: 10.1002/rfe.1113

Abstract: This paper uses fractional integration to explore the stochastic properties of the Financial Stress Indices (FSIs) of ten Asian countries, investigating the bilateral linkages between them to ascertain how financial stress spreads among countries in… read more here.

Keywords: fractional integration; stress spillover; asian countries; stress ... See more keywords
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On Generalized Fractional Integration of Aleph $$(\aleph )$$(ℵ)-Function

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recommendations! Published in 2017 at "International Journal of Applied and Computational Mathematics"

DOI: 10.1007/s40819-017-0353-1

Abstract: In the present paper, we establish two theorems exhibiting images of the product of Aleph $$(\aleph )$$(ℵ)-function and Srivastava’s polynomials (J Math 14:1–6, 1972) in Saigo operators (Math Rep Kyushu Univ 11:135–143, 1978). Being of… read more here.

Keywords: aleph aleph; fractional integration; generalized fractional; aleph ... See more keywords
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B-spline operational matrix of fractional integration

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recommendations! Published in 2017 at "Optik"

DOI: 10.1016/j.ijleo.2016.10.066

Abstract: Abstract In this paper, we use the second and third order spline functions to derive the operational matrix of fractional integration, which we then apply to solve fractional integro-differential equations, Abel equations and partial fractional… read more here.

Keywords: fractional integration; operational matrix; spline operational; matrix fractional ... See more keywords
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Generating Univariate Fractional Integration within a Large VAR(1)

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recommendations! Published in 2018 at "Journal of Econometrics"

DOI: 10.1016/j.jeconom.2018.01.002

Abstract: This paper shows that a large dimensional vector autoregressive model (VAR) of finite order can generate fractional integration in the marginalized univariate series. We derive high-level assumptions under which the final equation representation of a… read more here.

Keywords: fractional integration; univariate fractional; within large; generating univariate ... See more keywords

Market efficiency of Baltic stock markets: A fractional integration approach

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recommendations! Published in 2018 at "Physica A: Statistical Mechanics and its Applications"

DOI: 10.1016/j.physa.2018.07.029

Abstract: We investigate financial market efficiency in the time series of four daily Baltic stock market indices namely Baltic Benchmark Gross Index (OMXBBGI), all share index of Tallin-Lithuanian (OMXT), all share index of Riga (OMXR) and… read more here.

Keywords: baltic stock; fractional integration; market; market efficiency ... See more keywords

Some new evidence using fractional integration about trends, breaks and persistence in polar amplification

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recommendations! Published in 2025 at "Scientific Reports"

DOI: 10.1038/s41598-025-92990-x

Abstract: This paper uses fractional integration methods to obtain new evidence on polar amplification. The adopted modelling framework is very general since it allows the differencing parameter to take any real value, including fractional ones, and… read more here.

Keywords: polar amplification; amplification; fractional integration; new evidence ... See more keywords

On the persistence of prices in Mexico: a fractional integration approach

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recommendations! Published in 2017 at "Applied Economics"

DOI: 10.1080/00036846.2017.1371841

Abstract: ABSTRACT A relevant yet often overlooked characteristic of the inflation rate is its mean-reverting property. If a series has this feature, shocks eventually dissipate, whereas if it does not, they have a permanent effect on… read more here.

Keywords: fractional integration; series; persistence; inflation ... See more keywords

Labour market mismatches in G7 countries: a fractional integration approach

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recommendations! Published in 2024 at "Applied Economics"

DOI: 10.1080/00036846.2024.2305620

Abstract: ABSTRACT This paper examines the G7 labour market, analysing unemployment, job vacancies and the spread of both in terms of time series persistence from January 2002 to October 2023. Using fractional integration, we observe the… read more here.

Keywords: labour market; unemployment; job vacancies; fractional integration ... See more keywords
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Fractional Integration in Corporate Social Responsibility Indices: A FIGARCH and HYGARCH Approach

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recommendations! Published in 2019 at "Asian Economic and Financial Review"

DOI: 10.18488/journal.aefr.2019.97.836.850

Abstract: This research focuses on studying the return and volatility of CSR indices. Four models namely ARFIMA, ARFIMA-GARCH, ARFIMA-FIGARCH and ARFIMA-HYGARCH were applied to investigate the long-memory process in these indices. This paper provides investors with… read more here.

Keywords: fractional integration; social responsibility; integration corporate; csr indices ... See more keywords

A Fractional Integration Model and Testing Procedure with Roots Within the Unit Circle

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recommendations! Published in 2025 at "Mathematics"

DOI: 10.3390/math13182978

Abstract: In this paper we propose a statistical model that combines both autoregressions and fractional differentiation in a unified treatment. However, instead of imposing that the roots are strictly on the unit circle, we also allow… read more here.

Keywords: within unit; model; unit circle; fractional integration ... See more keywords