Microeconomic Models for Long Memory in the Volatility of Financial Time Series

2002 ◽  
Vol 5 (4) ◽  
Author(s):  
Alan Kirman ◽  
Gilles Teyssière
Keyword(s):  
Time Series ◽  
Long Memory ◽  
Financial Time Series ◽  
Financial Time ◽  
Microeconomic Models

Microeconomic Models for Long Memory in the Volatility of Financial Time Series

2001 ◽  
Vol 5 (4) ◽  
pp. 281-302 ◽  
Author(s):  
Alan Kirman ◽  
Gilles Teyssière
Keyword(s):  
Time Series ◽  
Long Memory ◽  
Financial Time Series ◽  
Financial Time ◽  
Microeconomic Models

Influence of some ARFIMA model parameters on the accuracy of financial time series forecasting

2021 ◽  
Vol 62 ◽  
pp. 85-100
Author(s):  
Robert Garafutdinov ◽  
Keyword(s):  
Time Series ◽  
Long Memory ◽  
Financial Time Series ◽  
Time Series Forecasting ◽  
Model Parameters ◽  
Memory Length ◽  
Financial Time ◽  
True Value ◽  
Arfima Model ◽  
Practical Recommendations

The influence of ARFIMA model parameters on the accuracy of financial time series forecasting on the example of artificially generated long memory series and daily log returns of RTS index is investigated. The investigated parameters are deviation of the integration order value from its «true» value, as well as the memory «length» considered by the model. Based on the research results, some practical recommendations for modeling using ARFIMA have been formulated.

Bandwidth selection by cross-validation for forecasting long memory financial time series

2014 ◽  
Vol 29 ◽  
pp. 129-143 ◽  
Author(s):  
Richard T. Baillie ◽  
George Kapetanios ◽  
Fotis Papailias
Keyword(s):  
Time Series ◽  
Long Memory ◽  
Cross Validation ◽  
Financial Time Series ◽  
Bandwidth Selection ◽  
Financial Time

Volatility clustering and long memory of financial time series and financial price model

2013 ◽  
Vol 23 (2) ◽  
pp. 489-498 ◽  
Author(s):  
Hongli Niu ◽  
Jun Wang
Keyword(s):  
Time Series ◽  
Long Memory ◽  
Financial Time Series ◽  
Price Model ◽  
Volatility Clustering ◽  
Financial Time

Is there long memory in financial time series?

2010 ◽  
Vol 20 (6) ◽  
pp. 487-500 ◽  
Author(s):  
Luiz Renato Lima ◽  
Zhijie Xiao
Keyword(s):  
Time Series ◽  
Long Memory ◽  
Financial Time Series ◽  
Financial Time

scholarly journals Long Memory and Fractional Integration in High Frequency Financial Time Series

2010 ◽  
Author(s):  
Guglielmo Maria Caporale ◽  
Luis A. Gil-Alana
Keyword(s):  
Time Series ◽  
Long Memory ◽  
High Frequency ◽  
Financial Time Series ◽  
Fractional Integration ◽  
Financial Time

scholarly journals Long Memory of Financial Time Series and Hidden Markov Models with Time-Varying Parameters

2016 ◽  
Vol 36 (8) ◽  
pp. 989-1002 ◽  
Author(s):  
Peter Nystrup ◽  
Henrik Madsen ◽  
Erik Lindström
Keyword(s):  
Time Series ◽  
Hidden Markov Models ◽  
Long Memory ◽  
Markov Models ◽  
Financial Time Series ◽  
Hidden Markov ◽  
Time Varying ◽  
Varying Parameters ◽  
Financial Time ◽  
Time Varying Parameters
Sign in / Sign up

Export Citation Format

Share Document