The Impact of data conversion on the long-term memory of time series and its consequences Case Study: Oil Price Data

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HASANSHAHI MORTEZA

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Journal Paper

Paper Information

Journal: JOURNAL OF ECONOMIC MODELING Year:2019 | Volume:4 | Issue:4 (15) Page(s): 85-105

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Information Journal Paper

Title

The Impact of data conversion on the long-term memory of time series and its consequences Case Study: Oil Price Data

Author(s)

HASANSHAHI MORTEZA | Issue Writer Certificate

Keywords

Long-term memoryQ2

data conversionQ1

detailed functionsQ1

pricingQ2

Abstract

Over the past decade, Long-term memory processes have been an important part of time series analysis. Long-term memory has important applications in evaluating market performance and macroeconomic, financial, and accounting variables, while the researcher may in some cases have to convert data or in other words manipulate data, which is expected to provide some data features that are important in economic forecasting. Therefore, in this study, the effect of data conversion on Long-term memory and structural dependency and finally the results of the study were investigated. For this purpose, the existence of Long-term memory in raw and converted data is first tested. To understand the effect of Long-term memory on structural dependence, the tail dependence coefficient between raw and manipulated data (seasonal data 1991 to 2018) is estimated; the results show that raw data have Long-term memory, more tail dependence on the manipulated data. It changes the nature of the data and not only reduces their memory but also reduces animal dependency.

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APA: Copy

HASANSHAHI, MORTEZA. (2019). The Impact of data conversion on the long-term memory of time series and its consequences Case Study: Oil Price Data. JOURNAL OF ECONOMIC MODELING, 4(4 (15) ), 85-105. SID. https://sid.ir/paper/404202/en

Vancouver: Copy

HASANSHAHI MORTEZA. The Impact of data conversion on the long-term memory of time series and its consequences Case Study: Oil Price Data. JOURNAL OF ECONOMIC MODELING[Internet]. 2019;4(4 (15) ):85-105. Available from: https://sid.ir/paper/404202/en

IEEE: Copy

MORTEZA HASANSHAHI, “The Impact of data conversion on the long-term memory of time series and its consequences Case Study: Oil Price Data,” JOURNAL OF ECONOMIC MODELING, vol. 4, no. 4 (15) , pp. 85–105, 2019, [Online]. Available: https://sid.ir/paper/404202/en

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