3 results for “long-range dependence”

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Research ArticleOpen accessIn the keywordsRecent Trends in Ozone and Particle Concentrations in the Sydney (Australia) AirshedMerched Azzi, Hiep DucAn overview is presented of changes in ground level ozone and atmospheric fine particles determined using ambient monitoring data collected at selected locations in Sydney, Australia. After removing seasonally, auto-regressive and moving average dependence from the selected time series, the trend of a selected series was modelled using the fractional long-term dependent component. The selected technique was able to detect … …American Journal of Environmental Sciences, Vol. 4, Issue 5 · 31 Oct 2008 · 6,682 accessesView PDF Cite

Research ArticleOpen accessIn the keywordsVolatility in Malaysian Stock Market: An Empirical Study Using Fractionally Integrated ApproachChin Wen CheongThis study explores the fractionally integrated (FI) time series analysis in Malaysian stock market. Four proxies of latent volatility, namely the absolute return, squared return and range-based (Parkinson and Garman and Klass) volatilities are selected for the empirical studies. In addition, the well-known FI autoregressive conditional variance (ARCH) type model is also taken into account for comparison purposes. Our empirical … …American Journal of Applied Sciences, Vol. 5, Issue 6 · 30 Jun 2008 · 6,706 accessesView PDF Cite

Research ArticleOpen accessIn the abstractStrong 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