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Estimation of the ARFIMA (p, d, q) fractional differencing parameter (d) using the classical rescaled adjusted range technique

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  • Ellis, Craig
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    File URL: http://www.sciencedirect.com/science/article/B6W4W-3YF47KF-4/2/960e1b4770c863a09cf7f48689525022
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    Bibliographic Info

    Article provided by Elsevier in its journal International Review of Financial Analysis.

    Volume (Year): 8 (1999)
    Issue (Month): 1 ()
    Pages: 53-65

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    Handle: RePEc:eee:finana:v:8:y:1999:i:1:p:53-65

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    Web page: http://www.elsevier.com/locate/inca/620166

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    1. Francis X. Diebold & Glenn D. Rudebusch, 1988. "Long memory and persistence in aggregate output," Finance and Economics Discussion Series 7, Board of Governors of the Federal Reserve System (U.S.).
    2. Craig Ellis, 1998. "Modelling the Expected Value of the Classical Rescaled Adjusted Range for Long-Term Dependent Series," Working Paper Series 79, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    3. L. C. G. Rogers, 1997. "Arbitrage with Fractional Brownian Motion," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 95-105.
    4. Jacobsen, Ben, 1996. "Long term dependence in stock returns," Journal of Empirical Finance, Elsevier, vol. 3(4), pages 393-417, December.
    5. Christopher F. Baum & John Barkoulas, 1996. "Long Term Dependence in Stock Returns," Boston College Working Papers in Economics 314., Boston College Department of Economics.
    6. Hauser, Michael A. & Reschenhofer, Erhard, 1995. "Estimation of the fractionally differencing parameter with the R/S method," Computational Statistics & Data Analysis, Elsevier, vol. 20(5), pages 569-579, November.
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    Cited by:
    1. 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.
    2. Batten, Jonathan & Ellis, Craig & Hogan, Warren, 2002. "Scaling the volatility of credit spreads: Evidence from Australian dollar eurobonds," International Review of Financial Analysis, Elsevier, vol. 11(3), pages 331-344.

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