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1 – 10 of 243Ngai Hang Chan and Wilfredo Palma
Since the seminal works by Granger and Joyeux (1980) and Hosking (1981), estimations of long-memory time series models have been receiving considerable attention and a number of…
Abstract
Since the seminal works by Granger and Joyeux (1980) and Hosking (1981), estimations of long-memory time series models have been receiving considerable attention and a number of parameter estimation procedures have been proposed. This paper gives an overview of this plethora of methodologies with special focus on likelihood-based techniques. Broadly speaking, likelihood-based techniques can be classified into the following categories: the exact maximum likelihood (ML) estimation (Sowell, 1992; Dahlhaus, 1989), ML estimates based on autoregressive approximations (Granger & Joyeux, 1980; Li & McLeod, 1986), Whittle estimates (Fox & Taqqu, 1986; Giraitis & Surgailis, 1990), Whittle estimates with autoregressive truncation (Beran, 1994a), approximate estimates based on the Durbin–Levinson algorithm (Haslett & Raftery, 1989), state-space-based maximum likelihood estimates for ARFIMA models (Chan & Palma, 1998), and estimation of stochastic volatility models (Ghysels, Harvey, & Renault, 1996; Breidt, Crato, & de Lima, 1998; Chan & Petris, 2000) among others. Given the diversified applications of these techniques in different areas, this review aims at providing a succinct survey of these methodologies as well as an overview of important related problems such as the ML estimation with missing data (Palma & Chan, 1997), influence of subsets of observations on estimates and the estimation of seasonal long-memory models (Palma & Chan, 2005). Performances and asymptotic properties of these techniques are compared and examined. Inter-connections and finite sample performances among these procedures are studied. Finally, applications to financial time series of these methodologies are discussed.
The discrete Fourier transform (dft) of a fractional process is studied. An exact representation of the dft is given in terms of the component data, leading to the frequency…
Abstract
The discrete Fourier transform (dft) of a fractional process is studied. An exact representation of the dft is given in terms of the component data, leading to the frequency domain form of the model for a fractional process. This representation is particularly useful in analyzing the asymptotic behavior of the dft and periodogram in the nonstationary case when the memory parameter
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Zhengxun Tan, Yao Fu, Hong Cheng and Juan Liu
This study aims to examine the long memory as well as the effect of structural breaks in the US and the Chinese stock markets. More importantly, it further explores possible…
Abstract
Purpose
This study aims to examine the long memory as well as the effect of structural breaks in the US and the Chinese stock markets. More importantly, it further explores possible causes of the differences in long memory between these two stock markets.
Design/methodology/approach
The authors employ various methods to estimate the memory parameters, including the modified R/S, averaged periodogram, Lagrange multiplier, local Whittle and exact local Whittle estimations.
Findings
China's two stock markets exhibit long memory, whereas the two US markets do not. Furthermore, long memory is robust in Chinese markets even when we test break-adjusted data. The Chinese stock market does not meet the efficient market hypothesis (EMHs), including the efficiency of information disclosure, regulations and supervision, investors' behavior, and trading mechanisms. Therefore, its stock prices' sluggish response to information leads to momentum effects and long memory.
Originality/value
The authors elaborately illustrate how long memory develops by analyzing not only stock market indices but also typical individual stocks in both the emerging China and the developed US, which diversifies the EMH with wider international stylized facts and findings when compared with previous literature. A couple of tests conducted to analyze structural break effects and spurious long memory demonstrate the reliability of the results. The authors’ findings have significant implications for investors and policymakers worldwide.
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The purpose of this paper is to test the efficient market hypothesis for major Indian sectoral indices by means of long memory approach in both time domain and frequency domain…
Abstract
Purpose
The purpose of this paper is to test the efficient market hypothesis for major Indian sectoral indices by means of long memory approach in both time domain and frequency domain. This paper also tests the accuracy of the detrended fluctuation analysis (DFA) approach and the local Whittle (LW) approach by means of Monte Carlo simulation experiments.
Design/methodology/approach
The author applies the DFA approach for the computation of the scaling exponent in the time domain. The robustness of the results is tested by the computation of the scaling exponent in the frequency domain by means of the LW estimator. The author applies moving sub-sample approach on DFA to study the evolution of market efficiency in Indian sectoral indices.
Findings
The Monte Carlo simulation experiments indicate that the DFA approach and the LW approach provides good estimates of the scaling exponent as the sample size increases. The author also finds that the efficiency characteristics of Indian sectoral indices and their stages of development are dynamic in nature.
Originality/value
This paper has both methodological and empirical originality. On the methodological side, the author tests the small sample properties of the DFA and the LW approaches by using simulated series of fractional Gaussian noise and find that both the approach possesses superior properties in terms of capturing the scaling behavior of asset prices. On the empirical side, the author studies the evolution of long-range dependence characteristics in Indian sectoral indices.
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Lauren A. Monds, Helen M. Paterson and Keenan Whittle
Operational debriefing and psychological debriefing both involve groups of participants (typically from the emergency services) discussing a critical incident. Research on…
Abstract
Purpose
Operational debriefing and psychological debriefing both involve groups of participants (typically from the emergency services) discussing a critical incident. Research on post‐incident debriefing has previously raised concerns over the likelihood that this discussion may affect not only psychological responses, but also memory integrity. It is possible that discussion in this setting could increase susceptibility to the misinformation effect. This paper seeks to address these issues.
Design/methodology/approach
The aim of this study was to investigate whether including a warning to the debriefing instructions about the possibility of memory contamination could reduce the misinformation effect. Participants viewed a stressful film, and were assigned to one of three conditions: debriefing with standard instructions, debriefing with a memory warning, or an individual recall control condition. Free recall memory and distress for the film were assessed.
Findings
Results indicate that participants in both debriefing conditions reported significantly more misinformation than those who did not participate in a discussion. Additionally it was found that the warning of memory contamination did not diminish the misinformation effect.
Originality/value
These findings are discussed with suggestions for the future of debriefing, with a particular focus on the emergency services.
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Gabriele Fiorentini, Alessandro Galesi and Enrique Sentana
We generalise the spectral EM algorithm for dynamic factor models in Fiorentini, Galesi, and Sentana (2014) to bifactor models with pervasive global factors complemented by…
Abstract
We generalise the spectral EM algorithm for dynamic factor models in Fiorentini, Galesi, and Sentana (2014) to bifactor models with pervasive global factors complemented by regional ones. We exploit the sparsity of the loading matrices so that researchers can estimate those models by maximum likelihood with many series from multiple regions. We also derive convenient expressions for the spectral scores and information matrix, which allows us to switch to the scoring algorithm near the optimum. We explore the ability of a model with a global factor and three regional ones to capture inflation dynamics across 25 European countries over 1999–2014.
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Francesco Moscone, Veronica Vinciotti and Elisa Tosetti
This chapter reviews graphical modeling techniques for estimating large covariance matrices and their inverse. The chapter provides a selective survey of different models and…
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This chapter reviews graphical modeling techniques for estimating large covariance matrices and their inverse. The chapter provides a selective survey of different models and estimators proposed by the graphical modeling literature and offers some practical examples where these methods could be applied in the area of health economics.
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In this paper, I propose an algorithm combining adaptive sampling and Reversible Jump MCMC to deal with the problem of variable selection in time-varying linear model. These types…
Abstract
In this paper, I propose an algorithm combining adaptive sampling and Reversible Jump MCMC to deal with the problem of variable selection in time-varying linear model. These types of model arise naturally in financial application as illustrated by a motivational example. The methodology proposed here, dubbed adaptive reversible jump variable selection, differs from typical approaches by avoiding estimation of the factors and the difficulties stemming from the presence of the documented single factor bias. Illustrated by several simulated examples, the algorithm is shown to select the appropriate variables among a large set of candidates.
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WHILE the technical part of the history of the aircraft gas turbine in Great Britain presents the features of success and failure familiar in technical progress, there is another…
Abstract
WHILE the technical part of the history of the aircraft gas turbine in Great Britain presents the features of success and failure familiar in technical progress, there is another part of the history which I believe can be described as an unqualified success. I refer to the habit of collaboration which was developed between the several technical teams in my own country, between Great Britain and the United States, and, later, between Great Britain and the British Dominions.