Long memory
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Prediction of Daily Climate Using Long Short-Term Memory (LSTM) Model Open
Climaate prediction plays a vital role in various sectors, including agriculture, disaster management, and urban planning. Traditional methods for climate forecasting often rely on complex physical models, which require substantial computa…
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Persistence in the cryptocurrency market Open
This paper examines persistence in the cryptocurrency market. Two different long-memory methods (R/S analysis and fractional integration) are used to analyse it in the case of the four main cryptocurrencies (BitCoin, LiteCoin, Ripple, Dash…
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Crude Oil Prices and COVID-19: Persistence of the Shock Open
The effect of the COVID-19 crisis on crude oil prices is investigated by using long memory techniques. The oil price series is highly persistent with an order of integration of 0.84, displaying mean reversion. When we examine data before t…
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Volatility Spillover Effect between Stock and Exchange Rate in Oil Exporting Countries Open
This paper proposes the volatility spillover effect between stock and foreign exchange markets in both directions in oil exporting countries – Russia and Brazil. The data sample consists of daily observations. The method is based on FIGARC…
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The COVID-19 IMPACT on the ASIAN STOCK MARKETS Open
In this note, we examine the impact that the COVID-19 crisis may have on the Asian stock markets by examining the statistical properties of three financial markets in Asia: namely, the Korean SE Kospi Index, the Japanese Nikkei 225, and th…
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A Survey on Efficiency and Profitable Trading Opportunities in Cryptocurrency Markets Open
This study conducts a systematic survey on whether the pricing behavior of cryptocurrencies is predictable. Thus, the Efficient Market Hypothesis is rejected and speculation is feasible via trading. We center interest on the Rescaled Range…
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Global decline in ocean memory over the 21st century Open
Ocean memory, the persistence of ocean conditions, is a major source of predictability in the climate system beyond weather time scales. We show that ocean memory, as measured by the year-to-year persistence of sea surface temperature anom…
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Volatility persistence in cryptocurrency markets under structural breaks Open
This paper deals with the analysis of volatility persistence in 12 main cryptocurrencies (Bitcoin, Bitshare, Bytecoin, Dash, Ether, Litecoin, Monero, Nem, Ripple, Siacoin, Stellar and Tether) taking into account the possibility of structur…
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Elasticity for economic processes with memory: fractional differential calculus approach Open
Derivatives of non-integer orders are applied to generalize notion of elasticity in framework of economic dynamics with memory.Elasticity of Y with respect to X is defined for the case of a finite-interval fading memory of changes of X and…
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Long and Short Memory in Economics: Fractional-Order Difference and Differentiation Open
Long and short memory in economic processes is usually described by the so-called discrete fractional differencing and fractional integration. We prove that the discrete fractional differencing and integration are the Grunwald-Letnikov fra…
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A Memory-Network Based Solution for Multivariate Time-Series Forecasting Open
Multivariate time series forecasting is extensively studied throughout the years with ubiquitous applications in areas such as finance, traffic, environment, etc. Still, concerns have been raised on traditional methods for incapable of mod…
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An Overview of FIGARCH and Related Time Series Models Open
This paper reviews the theory and applications related to fractionally integrated generalized autoregressive conditional heteroscedastic (FIGARCH) models, mainly for describing the observed persistence in the volatility of a time series. T…
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Volatility is Rough Open
Estimating volatility from recent high frequency data, we revisit the question of the smoothness of the volatility process. Our main result is that log-volatility behaves essentially as a fractional Brownian motion with Hurst exponent H of…
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The Effect of the Underlying Distribution in Hurst Exponent Estimation Open
In this paper, a heavy-tailed distribution approach is considered in order to explore the behavior of actual financial time series. We show that this kind of distribution allows to properly fit the empirical distribution of the stocks from…
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Fractionally Differenced Gegenbauer Processes with Long Memory: A Review Open
The main objective of this paper is to review and promote the usefulness of generalized fractionally differenced Gegenbauer processes in time series and econometric research endeavours. In particular, theoretical and computational aspects …
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Combining long memory and level shifts in modelling and forecasting the volatility of asset returns Open
We propose a parametric state space model of asset return volatility with an accompanying estimation and forecasting framework that allows for ARFIMA dynamics, random level shifts and measurement errors. The Kalman filter is used to constr…
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Estimation of fractionally integrated panels with fixed effects and cross-section dependence Open
We consider a large N, T heterogeneous panel data model with fixed effects, common factors allowing for cross-section dependence, and persistent data and errors, which are assumed fractionally integrated. We propose individual and common-c…
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Maximum and minimum temperatures in the United States: Time trends and persistence Open
We investigate the time trends in the maximum and minimum temperatures in the United States from 1895 to 2017 using techniques that allow for fractional integration in the detrended series. In doing so we get more accurate estimates of the…
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Improving representation of collective memory in socio‐hydrological models and new insights into flood risk management Open
Collective memory plays a controlling role in adaptation to potential flood risks, by learning from past disasters. However, with little quantitative empirical data, previous socio‐hydrological models have conceptualized the decaying proce…
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Is market fear persistent? A long-memory analysis Open
© 2018 The Authors. This paper investigates the degree of persistence of market fear in the VIX index over the sample period 2004–2016, as well as some sub-periods. The findings indicate that its properties change over time: in normal peri…
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Criterion of Existence of Power-Law Memory for Economic Processes Open
In this paper, we propose criteria for the existence of memory of power-law type (PLT) memory in economic processes. We give the criterion of existence of power-law long-range dependence in time by using the analogy with the concept of the…
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Nonstationary Cointegration in the Fractionally Cointegrated VAR Model Open
We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and make two distinct contributions. First, in their consistency proof, Johansen and Nielsen (2012a) imposed moment conditions on th…
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Linkages Between the US and European Stock Markets: A Fractional Cointegration Approach Open
This paper analyses the long‐memory properties of US and European stock indices, as well as their linkages, using fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the…
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Road accidents in Spain: Are they persistent? Open
Traffic accidents involve great costs both at an economic and a human level. This demands that governments implement strategies to reduce their number and impact. The knowledge of the nature of the phenomenon through the study of time seri…
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NEW GENERAL DECAY RATES OF SOLUTIONS FOR TWO VISCOELASTIC WAVE EQUATIONS WITH INFINITE MEMORY Open
We consider in this paper the problem of asymptotic behavior of solutions for two viscoelastic wave equations with infinite memory. We show that the stability of the system holds for a much larger class of kernels and get better decay rate…
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Dynamics of Commodities Prices: Integer and Fractional Models Open
This paper examines the time series of four important agricultural commodities, namely the soybean, corn, coffee and sugar prices. Time series can exhibit long-range dependence and persistence in their observation. The long memory feature …
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Forecasting realised volatility using ARFIMA and HAR models Open
Recent literature provides mixed empirical evidence with respect to the forecasting performance of ARFIMA and HAR models. This paper compares the forecasting performance of both models using high frequency data of 100 stocks representing 1…
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Unemployment in Africa: A Fractional Integration Approach Open
This paper estimates long‐memory models to analyse the stochastic behaviour of unemployment in eleven African countries (Botswana, Ethiopia, Ghana, Kenya, Malawi, Mauritius, Nigeria, Senegal, South Africa, Tanzania and Zambia) from the 196…
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Is Bitcoin’s Carbon Footprint Persistent? Multifractal Evidence and Policy Implications Open
The Bitcoin mining process is energy intensive, which can hamper the much-desired ecological balance. Given that the persistence of high levels of energy consumption of Bitcoin could have permanent policy implications, we examine the prese…
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Long Memory in Turkish Unemployment Rates Open
In this article we have examined the unemployment rate series in Turkey by using long memory models and in particular employing fractionally integrated techniques. Our results suggest that unemployment in Turkey is highly persistent, with …