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Predicting the distribution function for long-memory processes

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  • Ghosh, Sucharita
  • Draghicescu, Dana

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  • Ghosh, Sucharita & Draghicescu, Dana, 2002. "Predicting the distribution function for long-memory processes," International Journal of Forecasting, Elsevier, vol. 18(2), pages 283-290.
    • Handle: RePEc:eee:intfor:v:18:y:2002:i:2:p:283-290
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    References listed on IDEAS

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    1. C. W. J. Granger & Roselyne Joyeux, 1980. "An Introduction To Long‐Memory Time Series Models And Fractional Differencing," Journal of Time Series Analysis, Wiley Blackwell, vol. 1(1), pages 15-29, January.
    2. Beran, Jan & Ocker, Dirk, 1999. "SEMIFAR Forecasts, with Applications to Foreign Exchange Rates," CoFE Discussion Papers 99/13, University of Konstanz, Center of Finance and Econometrics (CoFE).
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    Cited by:

    1. Beran, Jan & Shumeyko, Yevgen, 2012. "Bootstrap testing for discontinuities under long-range dependence," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 322-347.

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