scholarly journals Log-periodogram estimation of the memory parameter of a long-memory process under trend

2003 ◽  
Vol 61 (3) ◽  
pp. 261-268 ◽  
Author(s):  
Philipp Sibbertsen
Keyword(s):  
Long Memory ◽  
Memory Process ◽  
Long Memory Process ◽  
Memory Parameter

scholarly journals Persistence in real exchange rate convergence

2014 ◽  
Vol 18 (1) ◽  
Author(s):  
Thanasis Stengos ◽  
M. Ege Yazgan
Keyword(s):  
Exchange Rates ◽  
Purchasing Power Parity ◽  
Long Memory ◽  
Structural Breaks ◽  
Real Exchange Rates ◽  
Purchasing Power ◽  
Memory Process ◽  
Power Parity ◽  
Long Memory Process ◽  
Memory Parameter

AbstractIn this paper we use a long memory framework to examine the validity of the Purchasing Power Parity (PPP) hypothesis using both monthly and quarterly data for a panel of 47 countries over a 50 year period (1957–2009). The analysis focuses on the long memory parameter d that allows us to obtain different convergence classifications depending on its value. Our analysis allows for the presence of smooth structural breaks and it does not rely on the use of a benchmark. Overall the evidence strongly points to the presence of a long memory process, where 0.5<d<1. The implication of our results is that we find long memory mean reverting convergence, something that is also consistent with Pesaran, M. H., R. P. Smith, T. Yamagata, and L. Hvozdyk. 2009. “Pairwise Tests of Purchasing Power Parity.” Econometric Reviews 28: 495–521. In explaining the speed of convergence as captured by the estimated long memory parameter d we find impediments to trade such as distance between neighboring countries and sticky prices to be mainly responsible for the slow adjustment of real exchange rates to PPP rather than nominal rates for all country groups but Asia, where the opposite is true.

On the estimation of short memory components in long memory time series models

2016 ◽  
Vol 20 (4) ◽  
Author(s):  
Richard T. Baillie ◽  
George Kapetanios
Keyword(s):  
Time Series ◽  
Long Memory ◽  
Time Series Models ◽  
Memory Process ◽  
Long Memory Process ◽  
Fractional Differencing ◽  
Memory Time ◽  
Short Memory ◽  
Short Memory Process ◽  
Memory Parameter

AbstractA substantial amount of recent time series research has emphasized semi-parameteric estimators of a long memory parameter and we provide a selective review of the literature on this issue. We consider such estimators applied to the issue of estimating the parameters relating to a short memory process which is embedded within the long memory process. We consider the fractional differencing filter and the subsequent properties of a two step estimator of the short memory parameters. We conclude that while the semi-parametric estimators can have excellent properties in terms of estimating the long memory parameter, they do not have good properties when applied to the two step estimator of short memory

A Random walk down the Dhaka Stock Exchange lane

2021 ◽  
Vol 1 (1) ◽  
Author(s):  
Md. Kamrul Bari ◽  
Dr. Melita Mehjabeen ◽  
Dr. A. K. Enamul Haque
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
Market Efficiency ◽  
Long Memory ◽  
Stock Exchange ◽  
Reliable Estimate ◽  
Memory Process ◽  
Long Memory Process ◽  
Study Results ◽  
Adf Test

Market efficiency has always been a matter of keen interest to the researchers of finance. Since the advancement of this concept, researchers are consistently investigating the market efficiency of different financial markets. Bangladesh, being one of the emerging economies, has also attracted the attention of many researchers. The researchers have investigated the realities regarding the market efficiency of both the stock exchanges of the country. Most of their investigations reveal that the Dhaka Stock Exchange (DSE) and the Chittagong Stock Exchange (CSE) are inefficient. This research, however, did not stop at revisiting market efficiency alone. Whether the return series follows a long-memory process, has also been tested. Besides, non-parametric tests have also been conducted to confirm the results of the parametric tests and vice versa. It generated a more reliable estimate of market efficiency for the period under study. Results of the Autoregressive Fractionally Integrated Moving Average (ARFIMA) model confirm that the return series does not follow a long memory process, and any shock in the system will eventually vanish. The findings of other tests (the run test, the Augmented Dickey-Fuller (ADF) test, the Kwiatkowski–Phillips–Schmidt–Shin (KPSS) test, and the Kolmogorov-Smirnov (K-S) test) suggest that the return series of the DSE are time-series stationary, non-normal, and do not follow a random walk. Given these results, we must echo the prior researchers to conclude that the stock market of Bangladesh is not efficient for the period of 2015 to 2020. These findings add new knowledge to the existing knowledge pool about market efficiency and long memory of the stock market of Bangladesh.

On the properties of the periodogram of a stationary long-memory process over different epochs with applications

2010 ◽  
Vol 31 (1) ◽  
pp. 20-36 ◽  
Author(s):  
Valdério A. Reisen ◽  
Eric Moulines ◽  
Philippe Soulier ◽  
Glaura C. Franco
Keyword(s):  
Long Memory ◽  
Memory Process ◽  
Long Memory Process

Real-Time Monitoring Test for Realized Volatility

2013 ◽  
Vol 5 (1) ◽  
pp. 1-24
Author(s):  
Cindy Shin-Huei Wang ◽  
Cheng Hsiao
Keyword(s):  
Real Time ◽  
Long Memory ◽  
Structural Breaks ◽  
Brownian Bridge ◽  
Memory Process ◽  
Time Pattern ◽  
Finite Samples ◽  
Long Memory Process ◽  
Data Generating Process ◽  
Monitoring Test

AbstractThis paper proposes a monitoring cumulative sum of squares (CUSQ)-type test for structural breaks in real time via an autoregressive (AR) approximation framework where data generating process (DGP) is a long memory process. The limiting distribution of the monitoring test follows a Brownian bridge and is free of long memory parameters under the null hypothesis of no break. The test is easy to implement and avoids the issue of spurious breaks found for some retrospective tests for long memory process. Neither does it need to use the bootstrap procedure to find the critical values. Monte Carlo simulations appear to confirm that there exists negligible size distortion and satisfactory power performances in finite samples. The procedure is then applied to monitor the real-time pattern of realized volatilities of dollar–Deutschmark and dollar–Japanese Yen.

scholarly journals Sieve bootstrap monitoring persistence change in long memory process

2016 ◽  
Vol 9 (1) ◽  
pp. 37-45 ◽  
Author(s):  
Zhanshou Chen ◽  
Zheng Tian ◽  
Yuhong Xing
Keyword(s):  
Long Memory ◽  
Memory Process ◽  
Sieve Bootstrap ◽  
Long Memory Process

scholarly journals On tests for long memory process behavior of international tourism market: Thailand and India

2011 ◽  
Vol 5 (3-4) ◽  
pp. 95-99 ◽  
Author(s):  
Songsak Sriboonchitta ◽  
Prasert Chaitip ◽  
Péter Balogh ◽  
Sándor Kovács ◽  
Chukiat Chaiboonsri
Keyword(s):  
Sri Lanka ◽  
South Asia ◽  
Long Memory ◽  
Statistical Tests ◽  
International Tourism ◽  
Memory Process ◽  
Short Term ◽  
Policy Makers ◽  
Long Memory Process ◽  
Process Behavior

In our research we examine the behaviour of both Thailand’s and India’s international tourism market by using long-memory analysis. The international tourism market of Thailand combined with seven groups such as East Asia, Europe, The Americas, South Asia, Oceania, Middle East and Africa. Similarly, the international tourism market of India combined with nine countries: USA, UK, Canada, Germany, France, Japan, Malaysia, Australia and Sri Lanka. Moreover, three statistical tests for long-memory process such as R/S test, Modified R/S test and GPH-test are employed to study these markets. The empirical findings in general provide more support for long memory process in international tourism market of Thailand and evidence for short-term dependence in international tourism market of India. Therefore, the policy makers of each country should understand the behaviour of long memory process in international tourism market before launching any stimulating campaign to this industry.

Sign in / Sign up

Export Citation Format

Share Document