Showing 1 - 10 of 21
Persistent link: https://www.econbiz.de/10003949816
Persistent link: https://www.econbiz.de/10011547550
Persistent link: https://www.econbiz.de/10011547555
Persistent link: https://www.econbiz.de/10011547692
Persistent link: https://www.econbiz.de/10001128573
We propose a new long-memory model with a time-varying fractional integration parameter, evolving non-linearly according to a Logistic Smooth Transition Autoregressive (LSTAR) specification. To estimate the time-varying fractional integration parameter, we implement a method based on the wavelet...
Persistent link: https://www.econbiz.de/10012968414
This paper estimates the complete historical US price data by employing a relatively new statistical methodology based on long memory. We consider, in addition to the standard case, the possibility of nonlinearities in the form of nonlinear deterministic trends as well as the possibility that...
Persistent link: https://www.econbiz.de/10012854954
Persistent link: https://www.econbiz.de/10013183818
This paper proposes a hybrid modelling approach for forecasting returns and volatilities of the stock market. The model, called ARFIMA-WLLWNN model, integrates the advantages of the ARFIMA model, the wavelet decomposition technique (namely, the discrete MODWT with Daubechies least asymmetric...
Persistent link: https://www.econbiz.de/10012827248
We employ the nonlinear unit-root test recently developed by Omay et al. (2018), as well as other linear and nonlinear tests, to examine the stationarity of five multi-century historical U.K. series of real output compiled by the Bank of England (Thomas and Dimsdale, 2017). Three series span...
Persistent link: https://www.econbiz.de/10012827252