The role of memory in modeling social and economic cycles of extreme events
In: A Handbook of Alternative Theories of Public Economics
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- N. Nergiz Dincer & Zeynel Ozdemir, 2009. "The quality of fiscal adjustment: an empirical analysis of Turkey," Journal of Economic Policy Reform, Taylor and Francis Journals, vol. 12(2), pages 111-126.
- N. Nergiz Dincer & Zeynel Abidin Ozdemir, 2009.
"The quality of fiscal adjustment: an empirical analysis of Turkey,"
Journal of Economic Policy Reform,
Taylor and Francis Journals, vol. 12(2), pages 111-126.
- N. Nergiz Dincer & Zeynel Abidin Ozdemir, 2009. "The quality of fiscal adjustment: an empirical analysis of Turkey," Journal of Economic Policy Reform, Taylor & Francis Journals, vol. 12(2), pages 111-126.
- D. Sornette & R. Woodard, "undated". "Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis," Working Papers CCSS-09-003, ETH Zurich, Chair of Systems Design.
- Loomes, Graham & Sugden, Robert, 1987. "Some implications of a more general form of regret theory," Journal of Economic Theory, Elsevier, vol. 41(2), pages 270-287, April.
- Kasman, Adnan & Kasman, Saadet & Torun, Erdost, 2009. "Dual long memory property in returns and volatility: Evidence from the CEE countries' stock markets," Emerging Markets Review, Elsevier, vol. 10(2), pages 122-139, June.
- C. W. J. Granger & Roselyne Joyeux, 1980. "An Introduction To Long‐Memory Time Series Models And Fractional Differencing," Journal of Time Series Analysis, Wiley Blackwell, vol. 1(1), pages 15-29, January.
- Francesco Forte & Cosimo Magazzino, 2011. "Optimal Size Government and Economic Growth in EU Countries," Economia politica, Società editrice il Mulino, issue 3, pages 295-322.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Arenas, Abraham J. & González-Parra, Gilberto & Chen-Charpentier, Benito M., 2016. "Construction of nonstandard finite difference schemes for the SI and SIR epidemic models of fractional order," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 121(C), pages 48-63.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza, 2013.
"SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence,"
Computational Economics, Springer;Society for Computational Economics, vol. 41(2), pages 249-265, February.
- Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza, 2012. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," AMSE Working Papers 1214, Aix-Marseille School of Economics, France.
- Mohamed Chikhi & Anne Peguin-Feissolle & Michel Terraza, 2013. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Post-Print hal-01499630, HAL.
- Mohamed Chikhi & Anne Peguin-Feissolle & Michel Terraza, 2012. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Working Papers halshs-00793203, HAL.
- Al-Shboul, Mohammad & Alsharari, Nizar, 2019. "The dynamic behavior of evolving efficiency: Evidence from the UAE stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 73(C), pages 119-135.
- Bhandari, Avishek, 2020. "Long Memory and Correlation Structures of Select Stock Returns Using Novel Wavelet and Fractal Connectivity Networks," MPRA Paper 101946, University Library of Munich, Germany.
- Malinda & Maya & Jo-Hui & Chen, 2022. "Testing for the Long Memory and Multiple Structural Breaks in Consumer ETFs," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 12(6), pages 1-6.
- Bhandari, Avishek, 2020. "Long memory and fractality among global equity markets: A multivariate wavelet approach," MPRA Paper 99653, University Library of Munich, Germany.
- Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2023.
"A Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting,"
Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1801-1843, December.
- Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2020. "Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting," Working Papers 202056, University of Pretoria, Department of Economics.
- Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2020. "Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting," Working papers 2020-10, University of Connecticut, Department of Economics.
- Ibrar Hussain & Jawad Hussain & Arshad Ali & Shabir Ahmad, 2021. "A Dynamic Analysis of the Impact of Fiscal Adjustment on Economic Growth: Evidence From Pakistan," SAGE Open, , vol. 11(2), pages 21582440211, June.
- González-Pla, Francisco & Lovreta, Lidija, 2019. "Persistence in firm’s asset and equity volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
- Ouael EL JEBARI & Abdelati HAKMAOUI, 2017. "Modeling persistence of volatility in the Moroccan exchange market using a fractionally integrated EGARCH," Turkish Economic Review, KSP Journals, vol. 4(4), pages 388-399, December.
- Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Nicholas Kilimani & Amandine Nakumuryango & Siobhan Redford, 2014.
"Predicting BRICS stock returns using ARFIMA models,"
Applied Financial Economics, Taylor & Francis Journals, vol. 24(17), pages 1159-1166, September.
- Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Nicholas Kilimani & Amandine Nakumuryango & Siobhan Redford, 2012. "Predicting BRICS Stock Returns Using ARFIMA Models," Working Papers 201235, University of Pretoria, Department of Economics.
- Tripathy, Naliniprava, 2022. "Long memory and volatility persistence across BRICS stock markets," Research in International Business and Finance, Elsevier, vol. 63(C).
- Rafik Nazarian & Esmaeil Naderi & Nadiya G. Alikhani & Ashkan Amiri, 2014.
"Long Memory Analysis: An Empirical Investigation,"
International Journal of Economics and Financial Issues, Econjournals, vol. 4(1), pages 16-26.
- Nazarian, Rafik & Naderi, Esmaeil & Gandali Alikhani, Nadiya & Amiri, Ashkan, 2013. "Long Memory Analysis: An Empirical Investigation," MPRA Paper 45605, University Library of Munich, Germany.
- Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Sibbertsen, Philipp, 2017. "The Long Memory of Equity Volatility: International Evidence," Hannover Economic Papers (HEP) dp-614, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Tan, Zhengxun & Xiao, Binuo & Huang, Yilong & Zhou, Li, 2021. "Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
- Lavička, Hynek & Kracík, Jiří, 2020. "Fluctuation analysis of electric power loads in Europe: Correlation multifractality vs. Distribution function multifractality," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
- Koop, Gary & Ley, Eduardo & Osiewalski, Jacek & Steel, Mark F. J., 1997.
"Bayesian analysis of long memory and persistence using ARFIMA models,"
Journal of Econometrics, Elsevier, vol. 76(1-2), pages 149-169.
- KOOP , Gary & LEY , Eduardo & OSIEWALSKI , Jacek & STEEL , Mark, 1995. "Bayesian Analysis of Long Memory and Persistence using ARFIMA Models," LIDAM Discussion Papers CORE 1995035, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Koop, G. & Ley, E. & Osiewalski, J. & Steel, M. F. J., 1997. "Bayesian analysis of long memory and persistence using ARFIMA models," LIDAM Reprints CORE 1246, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Gary Koop & Eduardo Ley & Jacek Osiewalski & Mark F.J. Steel, 1995. "Bayesian Analysis of Long Memory and Persistence using ARFIMA Models," Econometrics 9505001, University Library of Munich, Germany, revised 22 Jun 2004.
- Gary Koop, 1995. "Bayesian Analysis of Long Memory and Persistence using ARFIMA Models," Working Papers gkoop-95-01, University of Toronto, Department of Economics.
- Rob Hyndman & Heather Booth & Farah Yasmeen, 2013.
"Coherent Mortality Forecasting: The Product-Ratio Method With Functional Time Series Models,"
Demography, Springer;Population Association of America (PAA), vol. 50(1), pages 261-283, February.
- Rob J Hyndman & Heather Booth & Farah Yasmeen, 2011. "Coherent Mortality Forecasting The Product-ratio Method with Functional Time Series Models," Working Papers 201116, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales.
- Rob J Hyndman & Heather Booth & Farah Yasmeen, 2011. "Coherent mortality forecasting: the product-ratio method with functional time series models," Monash Econometrics and Business Statistics Working Papers 1/11, Monash University, Department of Econometrics and Business Statistics.
- Ngene, Geoffrey & Tah, Kenneth A. & Darrat, Ali F., 2017. "Long memory or structural breaks: Some evidence for African stock markets," Review of Financial Economics, Elsevier, vol. 34(C), pages 61-73.
- Luis Gil-Alana, 2004.
"Forecasting the real output using fractionally integrated techniques,"
Applied Economics, Taylor & Francis Journals, vol. 36(14), pages 1583-1589.
- Gil-Alaña, Luis A., 2001. "Forecasting the real output using fractionally integrated techniques," SFB 373 Discussion Papers 2001,27, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Driton Kuçi, 2015. "Contemporary Models of Organization of Power and the Macedonian Model of Organization of Power," European Journal of Interdisciplinary Studies Articles, Revistia Research and Publishing, vol. 1, September.
More about this item
Keywords
Economics and Finance; Politics and Public Policy;Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:elg:eechap:14898_11. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Darrel McCalla (email available below). General contact details of provider: http://www.e-elgar.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.