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SEMIFAR models--a semiparametric approach to modelling trends, long-range dependence and nonstationarity

Listed author(s):
  • Beran, Jan
  • Feng, Yuanhua

No abstract is available for this item.

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File URL: http://www.sciencedirect.com/science/article/pii/S0167-9473(02)00007-5
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Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 40 (2002)
Issue (Month): 2 (August)
Pages: 393-419

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Handle: RePEc:eee:csdana:v:40:y:2002:i:2:p:393-419
Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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  1. Cheung, Yin-Wong, 1993. "Long Memory in Foreign-Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 93-101, January.
  2. Jan Beran & Yuanhua Feng, 1999. "Local Polynomial Fitting with Long-Memory and Antipersistent errors," CoFE Discussion Paper 99-07, Center of Finance and Econometrics, University of Konstanz.
  3. Chiu, Shean-Tsong, 1989. "Bandwidth selection for kernel estimate with correlated noise," Statistics & Probability Letters, Elsevier, vol. 8(4), pages 347-354, September.
  4. L. C. G. Rogers, 1997. "Arbitrage with Fractional Brownian Motion," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 95-105.
  5. Liu, Christina Y & He, Jia, 1991. " A Variance-Ratio Test of Random Walks in Foreign Exchange Rates," Journal of Finance, American Finance Association, vol. 46(2), pages 773-785, June.
  6. 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.
  7. Fong, Wai Mun & Ouliaris, Sam, 1995. "Spectral Tests of the Martingale Hypothesis for Exchange Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(3), pages 255-271, July-Sept.
  8. Mandelbrot, Benoit B, 1971. "When Can Price Be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models," The Review of Economics and Statistics, MIT Press, vol. 53(3), pages 225-236, August.
  9. Hall, Peter & Hart, Jeffrey D., 1990. "Nonparametric regression with long-range dependence," Stochastic Processes and their Applications, Elsevier, vol. 36(2), pages 339-351, December.
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