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Portfolio Optimization with Prediction-Based Return Using Long Short-Term Memory Neural Networks: Testing on Upward and Downward European Markets
In recent years, artificial intelligence has helped to improve processes and performance in many different areas: in the field of portfolio...
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Application of empirical wavelet transform, particle swarm optimization, gravitational search algorithm and long short-term memory neural network to copper price forecasting
Copper is one of the main non-ferrous metals which are closely associated with important industries, such as equipment manufacturing, electrical...
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Foreign Currency Exchange Rate Prediction Using Long Short-Term Memory, Support Vector Regression and Random Forest Regression
This chapter aims to predict the foreign currency exchange rate on the basis of the US dollar over twenty-two different currencies. This chapter...
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Long memory and structural breaks of cryptocurrencies trading volume
The paper investigates long memory, structural breaks, and spurious long memory in the daily trading volume of the largest and most active...
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Long Memory, Spurious Memory: Persistence in Range-Based Volatility of Exchange Rates
This study considers the long memory and fractional integration in the range-based volatilities across 30 currencies against USD. Graphical analysis...
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Long memory in volatility in foreign exchange markets: evidence from selected countries in Africa
This study examines the long memory properties in the volatility of the foreign exchange markets of Egypt, Ghana, Kenya, Nigeria and South Africa....
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Approximating long-memory processes with low-order autoregressions: Implications for modeling realized volatility
Several articles have attempted to approximate long-memory, fractionally integrated time series by fitting a low-order autoregressive AR ( p ) model and...
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Long-Memory, Asymmetry and Fat-Tailed GARCH Models in Value-at-Risk Estimation: Empirical Evidence from the Global Real Estate Markets
In this paper, we address the question of whether long memory, asymmetry, and fat-tails in global real estate markets volatility matter when...
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Measuring macroeconomic convergence and divergence within EMU using long memory
This paper tests for convergence of EMU inflation rates and industrial production by testing for the existence of fractional cointegration relations....
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Predictability of short-term passengers’ origin and destination demands in urban rail transit
Accurate prediction of short-term passengers’ origin and destination (OD) demands is key to efficient operation and management of urban rail transit...
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Globalization, long memory, and real interest rate convergence: a historical perspective
This paper investigates whether the real interest rate parity (RIRP) is valid during the three waves of globalizations that occurred in the last...
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Short-Term Exposure to Air Pollution and Cognitive Performance: New Evidence from China’s College English Test
This paper investigates the impact of air pollution on students’ cognitive performance in a high-stakes exam: China’s College English Test (CET). We...
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Modeling Bitcoin price volatility: long memory vs Markov switching
The aim of this paper is to identify the best model to describe the volatility dynamics of Bitcoin prices for the turbulent period 2013–2020. We use...
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True or spurious long memory in the cryptocurrency markets: evidence from a multivariate test and other Whittle estimation methods
This paper applies a new proposed multivariate score-type test against spurious long memory to a group of cryptocurrency market returns. The test...
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Quantile spectral analysis of long-memory processes
This study examines the problem of robust spectral analysis of long-memory processes. We investigate the possibility of using Laplace and quantile...
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Short term forecasting of base metals prices using a LightGBM and a LightGBM - ARIMA ensemble
Base metals are key materials for various industrial sectors such as electronics, construction, manufacturing, etc. Their selling price is important...
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Long Memory and Correlation Structures of Select Stock Returns Using Novel Wavelet and Fractal Connectivity Networks
Despite several attempts in applied econometrics and time series literature to identify the common channels contributing to fractal structures and...
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The persistence of economic sentiment: a trip down memory lane
Although various indicators of economic sentiment are often assessed in macroeconomic studies, the generating process of economic sentiment itself is...
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Long Memory and Fractality Among Global Equity Markets: a Multivariate Wavelet Approach
This paper seeks to understand the long memory behaviour of global equity returns using novel methods from wavelet analysis. We implement the wavelet...
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Assessing the impact of Russian–Ukrainian geopolitical risks on global green finance: a quantile dependency analysis
In the pursuit of sustainable development, the presence of a robust financial sector plays a crucial role in the advancement of the green movement....
