Financial stress spillover across Asian Countries
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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
On Generalized Fractional Integration of Aleph $$(\aleph )$$(ℵ)-Function
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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
B-spline operational matrix of fractional integration
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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
Generating Univariate Fractional Integration within a Large VAR(1)
Sign Up to like & getrecommendations! 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
Sign Up to like & getrecommendations! 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
On the persistence of prices in Mexico: a fractional integration approach
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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
Fractional Integration in Corporate Social Responsibility Indices: A FIGARCH and HYGARCH Approach
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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