Journal ArticleDOI
What is fractional integration
TLDR
In this paper, a simple construction that will be referred to as an error-duration model is shown to generate fractional integration and long memory, making error duration an alternative to autoregression for explaining dynamic persistence in economic variables.Abstract:
A simple construction that will be referred to as an error-duration model is shown to generate fractional integration and long memory. An error-duration representation also exists for many familiar ARMA models, making error duration an alternative to autoregression for explaining dynamic persistence in economic variables. The results lead to a straightforward procedure for simulating fractional integration and establish a connection between fractional integration and common notions of structural change. Two examples show how the error-duration model could account for fractional integration in aggregate employment and in asset price volatility.read more
Citations
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Long memory and regime switching
Francis X. Diebold,Atsushi Inoue +1 more
TL;DR: The authors show that regime switching is easily confused with long memory, even asymptotically, so long as only a small amount of regime switching occurs, in a sense that they make precise.
Posted Content
Long Memory and Regime Switching
TL;DR: The authors show that regime switching is easily confused with long memory, even asymptotically, so long as only a small' amount of regime switching occurs, in a sense that they make precise.
Journal ArticleDOI
Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects
Thomas Mikosch,Catalin Starica +1 more
TL;DR: In this paper, the authors give the theoretical basis of a possible explanation for two stylized facts observed in long log return series: the long-range dependence (LRD) in volatility and the integrated GARCH (IGARCH).
Journal ArticleDOI
The Volatility of Realized Volatility
TL;DR: The authors showed that the residuals of commonly used time-series models for realized volatility and logarithmic realized variance exhibit non-Gaussianity and volatility clustering, and proposed extensions to explicitly account for these properties and assess their relevance for modeling and forecasting realized volatility.
Journal ArticleDOI
The Dynamics of the Partisan Gender Gap
TL;DR: The authors examine the nature and causes of gender differences in partisanship using a time series approach and show that gender differences are pervasive and are a product of the interaction ofsocietal conditions and politics.
References
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Journal ArticleDOI
Handbook of Mathematical Functions
Journal ArticleDOI
On the self-similar nature of Ethernet traffic (extended version)
TL;DR: It is demonstrated that Ethernet LAN traffic is statistically self-similar, that none of the commonly used traffic models is able to capture this fractal-like behavior, and that such behavior has serious implications for the design, control, and analysis of high-speed, cell-based networks.
Journal ArticleDOI
A long memory property of stock market returns and a new model
TL;DR: In this paper, a Monte-Carlo analysis of stock market returns was conducted and it was found that not only there is substantially more correlation between absolute returns than returns themselves, but the power transformation of the absolute return also has quite high autocorrelation for long lags.
Journal ArticleDOI
An introduction to long‐memory time series models and fractional differencing
TL;DR: Generation and estimation of these models are considered and applications on generated and real data presented, showing potentially useful long-memory forecasting properties.
Journal ArticleDOI
The estimation and application of long memory time series models
John Geweke,Susan Porter-Hudak +1 more
TL;DR: In this article, a new estimator of the long memory parameter in these models is proposed, based on the simple linear regression of the log periodogram on a deterministic regressor.
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