Minimum distance estimation of ARFIMA processes
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Baillie, Richard T. & Kapetanios, George & Papailias, Fotis, 2014. "Bandwidth selection by cross-validation for forecasting long memory financial time series," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 129-143.
- Baillie, Richard T. & Kapetanios, George & Papailias, Fotis, 2014. "Modified information criteria and selection of long memory time series models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 116-131.
More about this item
KeywordsAutocorrelation; Fractional noise; Fractional filtering; Long-memory; Missing data; Non-Gaussian processes;
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