Auflistung nach Schlagwort "Long memory"

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  • A comparison of semiparametric tests for fractional cointegration 
    Leschinski, Christian; Voges, Michelle; Sibbertsen, Philipp (Berlin, Heidelberg [u.a.] : Springer, 2020)
    There are various competing procedures to determine whether fractional cointegration is present in a multivariate time series, but no standard approach has emerged. We provide a synthesis of this literature and conduct a ...
  • Contributions to change-point analysis under long-range dependencies 
    Willert, Juliane (Hannover : Gottfried Wilhelm Leibniz Universität Hannover, 2012)
    [no abstract]
  • Essays on long memory time series 
    Leschinski, Christian Hendrik (Hannover : Gottfried Wilhelm Leibniz Universität Hannover, 2016)
    [no abstract]
  • Essays on robust long memory inference 
    Will, Michael Wolfgang (Hannover : Gottfried Wilhelm Leibniz Universität Hannover, 2018)
    [no abstract]
  • Essays on structural change tests under long memory 
    Wenger, Kai Rouven (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2020)
    This thesis contains six essays on tests for structural change under long memory with applications to economic time series. Chapter 1 introduces structural change tests and the concept of long memory. The main problem ...
  • Long Memory, Spurious Memory: Persistence in Range-Based Volatility of Exchange Rates 
    Afzal, Alia; Sibbertsen, Philipp (Dordrecht [u.a.] : Springer Science + Business Media B.V, 2022)
    This study considers the long memory and fractional integration in the range-based volatilities across 30 currencies against USD. Graphical analysis of the autocorrelation function at long lags and pole near zero frequencies ...
  • The Memory of Beta Factors 
    Becker, Janis; Hollstein, Fabian; Prokopczuk, Marcel; Sibbertsen, Philipp (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2020)
    Researchers and practitioners employ a variety of time-series processes to forecast betas, using either short-memory models or implicitly imposing infinite memory. We find that both approaches are inadequate: beta factors ...
  • Modeling trends and periodic components in geodetic time series: a unified approach 
    Kermarrec, Gaël; Maddanu, Federico; Klos, Anna; Proietti, Tommaso; Bogusz, Janusz (Berlin ; Heidelberg : Springer, 2024)
    Geodetic time series are usually modeled with a deterministic approach that includes trend, annual, and semiannual periodic components having constant amplitude and phase-lag. Although simple, this approach neglects the ...