Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 40 for “"Long Memory"”.
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Wavelet regression with long memory infinite moving average errors
… estimators of the mean regression function with long memory infinite moving average errors, and investigate the rates of convergence of estimators based on thresholding of empirical wavelet coefficients. We show that these estimators achieve nearly optimal minimax convergence rates within a …
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Long-memory stochastic volatility model calibration using deep neural nets
… of neural networks to the calibration of long-memory stochastic volatility (LMSV) models, a class of stochastic volatility models characterized by fractional Brownian motion. The specific challenge with these long-memory models is that they are non-Markovian in nature and simulation can be …
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Long Agricultural Futures Price Series: ARCH, Long Memory, or Chaos Processes
… of the ARCH model. The study has introduced the long memory model, especially the AFIMA model, to agricultural market study for the first time. The study suggests that various linear and nonlinear filters should be used carefully in chaos study since it has been found that they can distort …
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The efficiency of the oil futures markets: information, price discovery and long memory
… the period 2000 to 2011. First, the short and long term efficiency is examined by testing the unbiasedness of the oil futures price in predicting the expected spot price using the Johansen (1988) and the Engle-Granger (1987) cointegration tests, and the Error Correction Model (ECM). The results …
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Essays on Conditional Heteroscedastic Time Series Models with Asymmetry, Long memory, and Structural Changes
… features of asset returns such as asymmetry, long memory, and structural breaks. First, we introduce a hybrid structure that combines short-memory asymmetric Glosten, Jagannathan, and Runkle (GJR) formulation and the long-memory fractionally integrated GARCH (FIGARCH) process for modeling …
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Long memory in bond market returns: a test of weak-form efficiency in Botswana's bond market
… as a criterion to investigate the existence of long memory in both bond returns and volatility. The results of our study indicate that the Botswana bond market data follow, to a great extent, the long-range dependence which negates the precepts of the efficient market hypothesis. Furthermore, …
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Three essays on long memory tests for persistence in volatility and structural vector autoregression modeling of real exchange rates
… the first chapter the performance of two of the long memory tests, the Modified Rescaled Range Test and Geweke and Porter-Hudak Test for persistence in small samples is examined using Monte-Carlo methods. Some possible candidates for persistence in volatility are Autoregressive Conditional …
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Studies on break detection in financial time series volatility
… may influence the volatility persistence and/or long memory in financial time series. In the second chapter a Monte Carlo simulation experiment it is employed to examine the performance of a CUSUM type statistic for break detection. In particular, we study the statistical properties of a …
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Price volatility and liquidity cost in grain futures markets
… changes. The first essay examines the sources of long memory in three major grain futures contracts, and assesses its usefulness to forecast price volatility in periods of moderate and heightened uncertainty. Using data from corn, soybeans and wheat futures contracts in 1989-2011, statistical …
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Quantile Inference and Change Point Test under Time Series Non-stationarity
… curves for a class of non-stationary and long memory time series. New uniform Bahadur representations and Gaussian approximation schemes are established for a wide class of non-stationary and long memory linear processes. Furthermore, an asymptotic distributional theory is developed for …
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Memory Vs Momentum - Exploring Momentum Strategies With The Hurst Exponent
… developed for momentum strategy analysis and the long memory process in the financial markets. To test the null hypothesis of the Random Walk Hypothesis and the Efficient Market Hypothesis, we employ the Hurst exponent to detect the long-term memory existed in the stock return series. A time …
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Fuzzy modelling of the Johannesburg Security Exchange overall index
… Overall Index experiences the Hurst phenomena of long memory for periods of 100 days (approximately three months). Outside the long memory periods, the Johannesburg Security Exchange Overall Index is found to exhibit antipersistent or short-range dependency characteristics. The fuzzy feature of …
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An investigation into the characteristics of equity volatility and its implications for derivative strategies
… uses semi-parametric techniques to examine the long-run dynamics of UK equity volatility. The nature of volatility persistence found in both the implied and realized volatility series of a number of companies is carefully examined. Testing the time-domain properties of the volatility series …
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Market Efficiency of African Stock Markets
… by comparing the results when the presence of long-memory in frequency and time domains of the markets were examined. The researcher used a semi-parametric estimator, the Local Whittle estimator to test for long-memory in frequency domain and the Detrended Fluctuation Analysis (DFA) to test for …
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What can we learn from climate data? : Methods for fluctuation, time/scale and phase analysis
… climatological problems. First, the inference of long-range correlations by means of Detrended Fluctuation Analysis (DFA) is studied. It is argued that power-law scaling of the fluctuation function and thus long-memory may not be assumed a priori but have to be established. This requires to …
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Contributions to Bayesian inference via spectral methods
… we explore linear dynamic regression with semi-long memory disturbance processes. Second, spectral subsampling of continuous-time models for large data. Third, the estimation of stationary random fields for latticed spatial data.
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Multiscale analysis of financial volatility
… and the effects of temporal aggregation on long range dependent time series are theoretically outlined and then tested through simulations and empirically via S&P500. In the third section, the variation of two years of five-minute GBP/USD exchange rate is analysed and the notion of realised …
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