Search Results - subject:"Anti-persistence"

On the optimal forecast with the fractional Brownian motion

Wang, Xiaohu; Zhang, Chen; Yu, Jun - 2022

Persistent link: https://www.econbiz.de/10013542217

Short-term Dependence in Time Series as an Index of Complexity: Example from the S&P-500 Index

Dominique, C-Rene; Rivera-Solis, Luis Eduardo - Volkswirtschaftliche Fakultät, … - 2012

found experimentally to vary from persistence (H > 1/2) or long-term dependence to anti-persistence (H < 1/2) or short …

Persistent link: https://www.econbiz.de/10011257963

Anti-persistence and long-memory behaviour of SAREITs

Ijasan, Kolawole; Tweneboah, Goerge; Mensah, Jones Odei - In: Journal of property investment & finance 35 (2017) 4, pp. 356-368

Persistent link: https://www.econbiz.de/10011762572

Anti-persistence and long-memory behaviour of SAREITs

Ijasan, Kolawole; Tweneboah, George; Mensah, Jones Odei - In: Journal of Property Investment & Finance 35 (2017) 4, pp. 356-368

returns. Findings The finding of negative fractional integration parameters provides evidence of anti-persistence in SAREIT …

Persistent link: https://www.econbiz.de/10014899008

Mixed fractional Brownian motion, short and long-term Dependence and economic conditions: the case of the S&P-500 Index

Dominique, C-René; Rivera-Solis, Luis Eduardo - Volkswirtschaftliche Fakultät, … - 2011

market is dominated by “con-trarians”, the index jumps to anti-persistence that is a far-from-equilibrium state in which …

Persistent link: https://www.econbiz.de/10009368160

Effect of the order of fractional integration on impulse responses

Hassler, Uwe; Hosseinkouchack, Mehdi - In: Economics letters 125 (2014) 2, pp. 311-314

Persistent link: https://www.econbiz.de/10010505295

Effect of the order of fractional integration on impulse responses

Hassler, Uwe; Hosseinkouchack, Mehdi - In: Economics Letters 125 (2014) 2, pp. 311-314

affects the coefficients of the integration filter. For long memory (d>0), the effect is always positive; in the case of anti-persistence …

Persistent link: https://www.econbiz.de/10011076561

Modeling electricity spot prices using mean-reverting multifractal processes

Rypdal, Martin; Løvsletten, Ola - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 1, pp. 194-207

We discuss stochastic modeling of volatility persistence and anti-correlations in electricity spot prices, and for this purpose we present two mean-reverting versions of the multifractal random walk (MRW). In the first model the anti-correlations are modeled in the same way as in an...

Persistent link: https://www.econbiz.de/10011058719

Use and misuse of some Hurst parameter estimators applied to stationary and non-stationary financial time series

Serinaldi, Francesco - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 14, pp. 2770-2781

reported in different works. Moreover, some conclusions reported in the literature about the anti-persistence of some financial …

Persistent link: https://www.econbiz.de/10011064518

Wavelet Multiresolution Analysis of High-Frequency FX Rates, Summer 1997

Los, Cornelis A.; Karuppiah, Jeyanthi - School of Economics, University of Adelaide - 2000

FX pricing processes are nonstationary and their frequency characteristics are time-dependent. Most do not conform to geometric Brownian motion, since they exhibit a scaling law with a Hurst exponent between zero and 0.5 and fractal dimensions between 1.5 and 2. This paper uses wavelet...

Persistent link: https://www.econbiz.de/10008462901