Structural shocks and dynamic elasticities in a long memory model of the US gasoline retail market
Sign Up to like & getrecommendations! Published in 2017 at "Empirical Economics"
DOI: 10.1007/s00181-016-1145-x
Abstract: A structural multivariate long memory model of the US gasoline market is employed to disentangle structural shocks and to estimate the own-price elasticity of gasoline demand. Our main empirical findings are: (1) there is strong… read more here.
Keywords: model gasoline; memory model; market; structural shocks ... See more keywords
Comparing two nonparametric regression curves in the presence of long memory in covariates and errors
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DOI: 10.1007/s00184-019-00735-4
Abstract: This paper discusses the problem of testing the equality of two nonparametric regression functions against two-sided alternatives in the presence of long memory in the common covariate and errors. The proposed test is based on… read more here.
Keywords: nonparametric regression; two nonparametric; presence long; long memory ... See more keywords
Long memory and changepoint models: a spectral classification procedure
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DOI: 10.1007/s11222-017-9731-0
Abstract: Time series within fields such as finance and economics are often modelled using long memory processes. Alternative studies on the same data can suggest that series may actually contain a ‘changepoint’ (a point within the… read more here.
Keywords: classification; time; long memory; memory changepoint ... See more keywords
Intraday downward/upward multifractality and long memory in Bitcoin and Ethereum markets: An asymmetric multifractal detrended fluctuation analysis
Sign Up to like & getrecommendations! Published in 2019 at "Finance Research Letters"
DOI: 10.1016/j.frl.2019.03.029
Abstract: Abstract This study examines high-frequency asymmetric multifractality, long memory, and weak-form efficiency for two major cryptocurrencies, namely, Bitcoin (BTC) and Ethereum (ETH), using the asymmetric multifractal detrended fluctuation analysis method to consider different market patterns.… read more here.
Keywords: asymmetric multifractal; multifractality long; multifractal detrended; multifractality ... See more keywords
Long memory in financial markets: A heterogeneous agent model perspective
Sign Up to like & getrecommendations! Published in 2018 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2018.04.001
Abstract: During last decades, studies on asset pricing models witnessed a paradigm shift from rational expectation and representative agent to an alternative, behavioral view, where agents are heterogeneous and boundedly rational. In this paper, we model… read more here.
Keywords: market; memory financial; model; long memory ... See more keywords
Learning Can Generate Long Memory
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Econometrics"
DOI: 10.1016/j.jeconom.2017.01.001
Abstract: We study learning dynamics in a prototypical representative-agent forward-looking model in which agents’ beliefs are updated using linear learning algorithms. We show that learning in this model can generate long memory endogenously, without any persistence… read more here.
Keywords: long memory; generate long; learning generate;
True or spurious long memory in European non-EMU currencies
Sign Up to like & getrecommendations! Published in 2017 at "Research in International Business and Finance"
DOI: 10.1016/j.ribaf.2017.01.003
Abstract: We examine the Croatian Kuna, the Czech Koruna, the Hungarian Forint, the Polish Zloty, the Romanian Leu, and the Swedish Krona whether their Euro exchange rates volatility exhibits true or spurious long memory. Recent research… read more here.
Keywords: structural breaks; true spurious; long memory; exchange ... See more keywords
Wavelet semi-parametric inference for long memory in volatility in the presence of a trend
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Statistical Computation and Simulation"
DOI: 10.1080/00949655.2016.1272116
Abstract: ABSTRACT Risk of investing in a financial asset is quantified by functionals of squared returns. Discrete time stochastic volatility (SV) models impose a convenient and practically relevant time series dependence structure on the log-squared returns.… read more here.
Keywords: long memory; memory; memory volatility; wavelet semi ... See more keywords
Time varying long memory parameter estimation for locally stationary long memory processes
Sign Up to like & getrecommendations! Published in 2018 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2018.1472777
Abstract: Abstract The semiparametric estimators of time varying long memory parameter are investigated for locally stationary long memory processes. The GPH estimator and the local Whittle estimator are considered. Under some mild regularity assumptions, the weak… read more here.
Keywords: time varying; memory parameter; locally stationary; long memory ... See more keywords
For how long is memory lost in transient global amnesia?
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DOI: 10.1111/ene.14187
Abstract: Although transient global amnesia (TGA) was first described more than 50 years ago1 , the disorder still has several unrevealed aspects, particularly related to its pathophysiology. Three main pathophysiological mechanisms have been proposed to account… read more here.
Keywords: lost transient; memory lost; transient global; long memory ... See more keywords
The tail empirical process for long memory stochastic volatility models with leverage
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DOI: 10.1214/19-ejs1595
Abstract: We consider tail empirical processes of long memory stochastic volatility models with heavy tails and leverage. We study the limiting behaviour of the tail empirical process with both fixed and random levels. We show a… read more here.
Keywords: leverage; memory stochastic; long memory; empirical process ... See more keywords