Comparing the bias and misspecification in ARFIMA models
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Abstract
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DOI: 10.1111/1467-9892.00065
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Other versions of this item:
- Smith, Jeremy & Taylor, Nick & Yadav, Sanjay, 1995. "Comparing the Bias and Misspecification in Arfima Models," The Warwick Economics Research Paper Series (TWERPS) 442, University of Warwick, Department of Economics.
- Smith, Jeremy & Taylor, Nick & Yadav, Sanjay, 1995. "Comparing the Bias and Misspecification in ARFIMA Models," Economic Research Papers 268691, University of Warwick - Department of Economics.
Citations
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Cited by:
- Pong, Shiuyan & Shackleton, Mark B. & Taylor, Stephen J. & Xu, Xinzhong, 2004. "Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models," Journal of Banking & Finance, Elsevier, vol. 28(10), pages 2541-2563, October.
- Miguel Arranz & Francesc Marmol, 2001.
"Out-of-sample forecast errors in misspecific perturbed long memory processes,"
Statistical Papers, Springer, vol. 42(4), pages 423-436, October.
- Marmol, Francesc & Arranz, Miguel A., 1998. "Out-of-sample forecast errors in misspecified perturbed long memory processes," DES - Working Papers. Statistics and Econometrics. WS 10684, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Giorgio Canarella & Stephen M Miller, 2017. "Inflation Persistence Before and After Inflation Targeting: A Fractional Integration Approach," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 43(1), pages 78-103, January.
- Leonardo Rocha Souza, 2007.
"Temporal Aggregation and Bandwidth selection in estimating long memory,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 28(5), pages 701-722, September.
- Souza, Leonardo Rocha, 2003. "Temporal aggregation and bandwidth selection in estimating long memory," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 478, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Ana Pérez & Esther Ruiz, 2002.
"Modelos de memoria larga para series económicas y financieras,"
Investigaciones Economicas, Fundación SEPI, vol. 26(3), pages 395-445, September.
- Pérez, Ana, 2001. "Modelos de memoria larga para series económicas y financieras," DES - Documentos de Trabajo. EstadÃstica y EconometrÃa. DS ds010101, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Fantazzini, Dean, 2023. "Assessing the Credit Risk of Crypto-Assets Using Daily Range Volatility Models," MPRA Paper 117141, University Library of Munich, Germany.
- Gadea, Maria Dolores & Sabate, Marcela & Serrano, Jose Maria, 2004. "Structural breaks and their trace in the memory: Inflation rate series in the long-run," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(2), pages 117-134, April.
- Goddard, John & Onali, Enrico, 2012. "Short and long memory in stock returns data," Economics Letters, Elsevier, vol. 117(1), pages 253-255.
- Giorgio Canarella & Stephen M. Miller, 2016.
"Inflation Persistence and Structural Breaks: The Experience of Inflation Targeting Countries and the US,"
Working papers
2016-11, University of Connecticut, Department of Economics.
- Giorgio Canarella & Stephen M. Miller, 2016. "Inflation Persistence and Structural Breaks: The Experience of Inflation Targeting Countries and the US," Working papers 2016-21, University of Connecticut, Department of Economics.
- Rea, William & Oxley, Les & Reale, Marco & Brown, Jennifer, 2013. "Not all estimators are born equal: The empirical properties of some estimators of long memory," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 93(C), pages 29-42.
- Onali, Enrico & Goddard, John, 2011.
"Are European equity markets efficient? New evidence from fractal analysis,"
International Review of Financial Analysis, Elsevier, vol. 20(2), pages 59-67, April.
- Enrico Onali & John Goddard, 2014. "Are European equity markets efficient? New evidence from fractal analysis," Papers 1402.1440, arXiv.org.
- Leonardo Souza & Jeremy Smith & Reinaldo Souza, 2006.
"Convex combinations of long memory estimates from different sampling rates,"
Computational Statistics, Springer, vol. 21(3), pages 399-413, December.
- Souza, Leonardo Rocha & Smith, Jeremy & Souza, Reinaldo Castro, 2003. "Convex combinations of long memory estimates from different sampling rates," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 489, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Guglielmo Caporale & Luis Gil-Alana, 2013.
"Long memory in US real output per capita,"
Empirical Economics, Springer, vol. 44(2), pages 591-611, April.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2009. "Long Memory in US Real Output per Capita," CESifo Working Paper Series 2671, CESifo.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2009. "Long Memory in US Real Output per Capita," Discussion Papers of DIW Berlin 891, DIW Berlin, German Institute for Economic Research.
- Souza, Leonardo R. & Smith, Jeremy, 2004. "Effects of temporal aggregation on estimates and forecasts of fractionally integrated processes: a Monte-Carlo study," International Journal of Forecasting, Elsevier, vol. 20(3), pages 487-502.
- Benjamin J. C. Kim & David Karemera, 2006. "Assessing the forecasting accuracy of alternative nominal exchange rate models: the case of long memory," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(5), pages 369-380.
- Shuping Shi & Jun Yu, 2023. "Volatility Puzzle: Long Memory or Antipersistency," Management Science, INFORMS, vol. 69(7), pages 3861-3883, July.
- Silva, E.M. & Franco, G.C. & Reisen, V.A. & Cruz, F.R.B., 2006. "Local bootstrap approaches for fractional differential parameter estimation in ARFIMA models," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 1002-1011, November.
- Beran, Jan & Ghosh, Sucharita & Schell, Dieter, 2009. "On least squares estimation for long-memory lattice processes," Journal of Multivariate Analysis, Elsevier, vol. 100(10), pages 2178-2194, November.
- Steven Clark & T. Coggin, 2011. "Are U.S. stock prices mean reverting? Some new tests using fractional integration models with overlapping data and structural breaks," Empirical Economics, Springer, vol. 40(2), pages 373-391, April.
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