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Autoregressive aided periodogram bootstrap for time series

Kreiss, Jens-Peter; Paparoditis, Efstathios - Sonderforschungsbereich 373, Quantifikation und … - 2001

A bootstrap methodology for the periodogram of a stationary process is proposed which is based on a combination of a … time domain parametric and a frequency domain nonparametric bootstrap. The parametric fit is used to generate periodogram … ordinates and imitate the essential features of the data and the weak dependence structure of the periodogram while a …

Persistent link: https://www.econbiz.de/10010956573

Application of Periodogram-Based Cointegration Test for the Analysis of the Services and Goods Sector Inflations

Akdi, Yilmaz; Kalafatcilar, Koray; Metin-Ozcan, Kivilcim - In: International Econometric Review (IER) 2 (2010) 1, pp. 3-10

addition to time series tools. A periodogram-based test has pros over conventional tests; this test is model-free, seasonally …’s conventional long-run time series tools as well as periodogram based test, suggest that services and goods sector inflations in …

Persistent link: https://www.econbiz.de/10009228714

Second-order moments of frequency asymmetric cycles

Artiach, Miguel - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2011

Second-order moments, as even functions in time, are conventionally regarded as containing no information about the time irreversible nature of a sequence and therefore about its frequency asymmetry. However, this paper shows that the frequency asymmetry produces a clearly distinct behaviour in...

Persistent link: https://www.econbiz.de/10009399779

Evidencia empírica sobre la predictibilidad de los ciclos bursátiles: el comportamiento del índice Dow Jones Industrial Average en las crisis bursátiles de 1929, 1987 y 2997

Escañuela Romana, Ignacio - Volkswirtschaftliche Fakultät, … - 2011

Based on a deterministic hypothesis, this paper aims to verify the regularity of the stock market cycles and, if this regularity is found, the ability to predict major stock market crises. Harmonic analysis, or Fourier series, is applied in order to, decomposing into sinusoids curves, find the...

Persistent link: https://www.econbiz.de/10009278267

A frequency domain bootstrap for Whittle estimation under long-range dependence

Kim, Young Min; Nordman, Daniel J. - In: Journal of Multivariate Analysis 115 (2013) C, pp. 405-420

Whittle estimation is a common technique for fitting parametric spectral density functions to time series, in an effort to model the underlying covariance structure. However, Whittle estimators from long-range dependent processes can exhibit slow convergence to their Gaussian limit law so that...

Persistent link: https://www.econbiz.de/10010608102

Spectral analysis of seasonality in tourism demand

Chan, Felix; Lim, Christine - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 7, pp. 1409-1418

This paper aims to analyse the seasonality in New Zealand tourism demand from Australia and the USA using spectral analysis. Tourism demand is divided into four different categories depending on the tourists’ visiting purposes as registered in the customs cards upon their arrivals in New...

Persistent link: https://www.econbiz.de/10010750011

Empirical evidence of long-range correlations in stock returns

Grau-Carles, Pilar - In: Physica A: Statistical Mechanics and its Applications 287 (2000) 3, pp. 396-404

estimation, we find little evidence of long memory in returns themselves, by strong evidence of persistence in volatility … temporal dependence in returns and long-range correlation in conditional volatility. …

Persistent link: https://www.econbiz.de/10010871685

Convolutional regression for big spatial data

Matsuda, Yasumasa; Yuan, Xin - 2022

Persistent link: https://www.econbiz.de/10013445687

Long-Term Memory and Its Evolution in Returns of Stock Index PX Between 1997 and 2009

Krištoufek, Ladislav - In: Politická ekonomie 2010 (2010) 4, pp. 471-487

periodogram method. In our analysis of evolution of Hurst exponent between 1997 and 2009, we show that PX experienced persistent …

Persistent link: https://www.econbiz.de/10008564633

Los Barómetros de Harvard: ¿Permitían Pedecir la Depresión de 1929?

Escañuela Romana, Ignacio - Volkswirtschaftliche Fakultät, … - 2009

This paper reviews the possibility that Harvard barometers would have enabled to predict the Great Depression. Based on data from the ABC curves in August 1929, could have been foreseen the collapse of the stock market and the dramatic fall in economic activity?. It is now accepted that Harvard...

Persistent link: https://www.econbiz.de/10005061662