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RISModified information criteria and selection of long memory time series models
Publisher: Elsevier Science
Year: 2014
Empirical process of residuals for regression models with long memory errors
Publisher: Elsevier Science
Year: 2014
Fractional integration versus level shifts: The case of realized asset correlations
Publisher: Springer
Year: 2013
Multivariate limits of multilinear polynomial form processes with long memory
Publisher: Elsevier Science
Year: 2013
Structure of the third moment of the generalized Rosenblatt distribution
Publisher: Elsevier Science
Year: 2014
Lasso with long memory regression errors
Publisher: Elsevier Science
Year: 2014
Investigation of Market efficiency between S&P 500 and London Stock Exchange : monthly and yearly Forecasting of Time Series Stock Returns Using ARMA model
Year: 2016
Abstract:
We investigated the presence of, and changes in, long memory features in the returns and volatility dynamics of S&P 500 and London Stock Exchange Using ARMA model. Recently, multifractal analysis has been evolved as an important way to explain...
Effect of Short-and Long-term Memory on Trend Significancy of Mean Annual Flow by Mann-Kendall Test
Year: 2013
Abstract:
Climate variability and change is threatening water resources around the world. One hundred and fourteen (114) stations from Reference Hydrometric Basin Network (RHBN) around Canada with at least ...
Realized stochastic volatility with leverage and long memory
Publisher: Elsevier Science
Year: 2014
Wavelet estimation of the memory parameter for long range dependent random fields
Publisher: Springer
Year: 2014