Estimation of the ARFIMA (p, d, q) fractional differencing parameter (d) using the classical rescaled adjusted range technique
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Bibliographic InfoArticle provided by Elsevier in its journal International Review of Financial Analysis.
Volume (Year): 8 (1999)
Issue (Month): 1 ()
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Web page: http://www.elsevier.com/locate/inca/620166
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- Ellis, Craig & Wilson, Patrick, 2004. "Another look at the forecast performance of ARFIMA models," International Review of Financial Analysis, Elsevier, vol. 13(1), pages 63-81.
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