SEMIFAR Forecasts, with Applications to Foreign Exchange Rates
AbstractSEMIFAR models introduced in Beran (1999) provide a semiparametric modelling framework that enables the data analyst to separate deterministic and stochastic trends as well as short- and long-memory components in an observed time series. A correct distinction between these components, and in particular, the decision which of the components may be present in the data have an important impact on forecasts. in this paper, forecasts and forecast intervals for SEMIFAR models are obtained. The forecasts are based on an extrapolation of the stochastic component. In the data analystical part of the paper, the proposed method is applied to foreign exchange rates from Europe and Asia.
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Bibliographic InfoPaper provided by Center of Finance and Econometrics, University of Konstanz in its series CoFE Discussion Paper with number 99-13.
Length: 25 pages
Date of creation: 02 Jun 1999
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2000-02-28 (All new papers)
- NEP-ECM-2000-02-28 (Econometrics)
- NEP-ETS-2000-02-28 (Econometric Time Series)
- NEP-IFN-2000-02-28 (International Finance)
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