Keywords: Bayesian model selection Reversible jump Markov chain Monte Carlo Autoregressive fractional integrated moving average models Long memory processes a b s t r a c t Various model selection criteria such as Akaike information criterion (AIC; Akaike, 1973), Bayesian information criterion (BIC; Akaike, 1979) and Hannan–Quinn criterion (HQC; Hannan, 1980) are used for model specification in...

This paper reexamines the time series properties of the US ex post real interest rate. The estimation of the ARFIMA model using the Conditional Sum of Squares (CSS) method reveals that the ex post real interest rate can be well described using a fractionally integrated process.  2000 Elsevier Science S.A. All rights reserved.

We study asymptotic expansion of the likelihood of a certain class of Gaussian processes characterized by their spectral density fθ. We consider the case where fθ(x) ∼x→0 |x|Lθ(x) with Lθ a slowly varying function and α(θ) ∈ (−∞, 1). We prove LAN property for these models which include in particular fractional Brownian motion or ARFIMA processes.

In the last years, the time series properties of the U.S. unemployment rate have become the subject of intensive debate. Despite extensive empirical research many contradictory results have been reported. In order to resolve the question about the degree of integration, I estimate a highly general ARFIMA(p,d,q) model. The empirical evidence suggests that aggregate U.S. unemployment is fractiona...

Bu çalışmanın amacı, yapısal kırılmalar altında asimetrik bilginin hisse senedi getiri oynaklığı üzerindeki etkisini ARFIMA-FIGARCH ikili uzun hafıza ve Markov Switching Regresyon modelleriyle ortaya koymaktır. doğrultuda, çalışmada BİST 100 Endeksi’nin 04.01.2010-31.12.2018 dönemine ilişkin günlük dolar cinsinden kapanış fiyatları, alım satım fiyat marjı ile toplam işlem hacmi verileri dikkate...