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On robust local polynomial estimation with long-memory errors

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Author Info
Beran, Jan
Feng, Yuanhua
Ghosh, Sucharita
Sibbertsen, Philipp

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Abstract

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File URL: http://www.sciencedirect.com/science/article/B6V92-44XCB6T-2/2/40f5dfff24c93b1f81d72374ac7c35b3
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Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 18 (2002)
Issue (Month): 2 ()
Pages: 227-241
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Handle: RePEc:eee:intfor:v:18:y:2002:i:2:p:227-241

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Jan Beran & Dirk Ocker, 1999. "SEMIFAR Forecasts, with Applications to Foreign Exchange Rates," CoFE Discussion Paper 99-13, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  2. Jan Beran, 1999. "SEMIFAR Models - A Semiparametric Framework for Modelling Trends, Long Range Dependence and Nonstationarity," CoFE Discussion Paper 99-16, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  3. Giraitis, Liudas & Koul, Hira L. & Surgailis, Donatas, 1996. "Asymptotic normality of regression estimators with long memory errors," Statistics & Probability Letters, Elsevier, vol. 29(4), pages 317-335, September. [Downloadable!] (restricted)
  4. Jan Beran & Yuanhua Feng, 2000. "Data-driven estimation of semiparametric fractional autoregressive models," CoFE Discussion Paper 00-16, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
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This page was last updated on 2009-12-3.

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