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Optimal Convergence Rates in Nonparametric Regression with Fractional Time Series Errors

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Author Info
Yuanhua Feng () (Department of Mathematics and Statistics, University of Konstanz)

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Paper provided by Center of Finance and Econometrics, University of Konstanz in its series CoFE Discussion Paper with number 02-01.

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Length: 19 pages
Date of creation: Jan 2002
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Handle: RePEc:knz:cofedp:0201

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Keywords: Nonparametric regression; optimal convergence rate; long memory; antipersistence; inverse process.;

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  1. Jan Beran & Yuanhua Feng, 2002. "Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent Errors," Annals of the Institute of Statistical Mathematics, Springer, vol. 54(2), pages 291-311, June. [Downloadable!] (restricted)
  2. Beran, Jan & Feng, Yuanhua, 2002. "SEMIFAR models--a semiparametric approach to modelling trends, long-range dependence and nonstationarity," Computational Statistics & Data Analysis, Elsevier, vol. 40(2), pages 393-419, August. [Downloadable!] (restricted)
  3. Feng, Yuanhua & Beran, Jan & Yu, Keming, 2006. "Modelling financial time series with SEMIFAR-GARCH model," MPRA Paper 1593, University Library of Munich, Germany. [Downloadable!]
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  4. Jan Beran & Yuanhua Feng, 1999. "Local Polynomial Estimation with a FARIMA-GARCH Error Process," CoFE Discussion Paper 99-08, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  5. Wolfgang Härdle & Julius Mungo, 2007. "Long Memory Persistence in the Factor of Implied Volatility Dynamics," SFB 649 Discussion Papers SFB649DP2007-027, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
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