4 results for “Fractional Integration”

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Research ArticleOpen accessIn the keywordsForecasting the Spanish Stock Market Returns with Fractional and Non-Fractional ModelsGuglielmo Maria Caporale, Juncal Cunado, Luis A. Gil-AlanaProblem statement: The content of this note was to assess the forecasting accuracy of various models of the Spanish stock market returns. Approach: We use daily data on the IBEX 35 for the time period January 4th, 2001-March 28th, 2006 and employ both fractional and non-fractional models. Results: The results on the prediction errors for the out-of-sample forecasts indicate that … …American Journal of Economics and Business Administration, Vol. 3, Issue 4 · 8 Dec 2011 · 7,316 accessesView PDF Cite

Research ArticleOpen accessIn the keywordsStrong Dependence at the Long Run and the Cyclical Frequencies in the Specification of the US Unemployment RateL. A. Gil-AlanaThis study deals with the presence of long range dependence at the long run and the cyclical frequencies in the specification of the US unemployment rate. We use a parametric procedure that permits us to test unit and fractional roots in raw time series. The results show that both the long run and the cyclical structures present a component of … …American Journal of Applied Sciences, Vol. 2, Issue 2 · 28 Feb 2005 · 6,501 accessesView PDF Cite

Research ArticleOpen accessIn the abstractCOMBINING LONG MEMORY AND NONLINEAR MODEL OUTPUTS FOR INFLATION FORECASTHeri Kuswanto, Irhamah, Laylia AfidahLong memory and nonlinearity have been proven as two models that are easily to be mistaken. In other words, nonlinearity is a strong candidate of spurious long memory by introducing a certain degree of fractional integration that lies in the region of long memory. Indeed, nonlinear process belongs to short memory with zero integration order. The idea of the forecast … …Journal of Mathematics and Statistics, Vol. 10, Issue 3 · 7 Jul 2014 · 6,981 accessesView PDF Cite

Research ArticleOpen accessIn the abstractAn Approximate Formula of European Option for Fractional Stochastic Volatility Jump-Diffusion ModelP. Sattayatham, A. IntarasitProblem statement: We presented option pricing when the stock prices follows a jumpdiffusion model and their stochastic volatility follows a fractional stochastic volatility model. This proposed model exhibits the a memory of a stochastic volatility model that is not expressed in the classical stochastic volatility model. Approach: We introduce an approximated method to fractional stochastic volatility model perturbed by the … …Journal of Mathematics and Statistics, Vol. 7, Issue 3 · 27 Jul 2011 · 7,964 accessesView PDF Cite