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Forecasting costs incurred from unit differencing fractionally integrated processes

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  • Smith, Jeremy
  • Yadav, Sanjay

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  • Smith, Jeremy & Yadav, Sanjay, 1994. "Forecasting costs incurred from unit differencing fractionally integrated processes," International Journal of Forecasting, Elsevier, vol. 10(4), pages 507-514, December.
  • Handle: RePEc:eee:intfor:v:10:y:1994:i:4:p:507-514
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    References listed on IDEAS

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    1. Dalrymple, Douglas J., 1987. "Sales forecasting practices: Results from a United States survey," International Journal of Forecasting, Elsevier, pages 379-391.
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    Cited by:

    1. Li, Daye & Nishimura, Yusaku & Men, Ming, 2016. "Why the long-term auto-correlation has not been eliminated by arbitragers: Evidences from NYMEX," Energy Economics, Elsevier, pages 167-178.
    2. Assaf, A., 2006. "Dependence and mean reversion in stock prices: The case of the MENA region," Research in International Business and Finance, Elsevier, pages 286-304.
    3. Hyndman, Rob J. & Khandakar, Yeasmin, 2008. "Automatic Time Series Forecasting: The forecast Package for R," Journal of Statistical Software, Foundation for Open Access Statistics.
    4. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
    5. Miguel Arranz & Francesc Marmol, 2001. "Out-of-sample forecast errors in misspecific perturbed long memory processes," Statistical Papers, Springer, pages 423-436.
    6. Luisa Bisaglia & Silvano Bordignon, 2002. "Mean square prediction error for long-memory processes," Statistical Papers, Springer, pages 161-175.
    7. Ellis, Craig & Wilson, Patrick, 2004. "Another look at the forecast performance of ARFIMA models," International Review of Financial Analysis, Elsevier, vol. 13(1), pages 63-81.
    8. Miguel Arranz & Francesc Marmol, 2001. "Out-of-sample forecast errors in misspecific perturbed long memory processes," Statistical Papers, Springer, pages 423-436.
    9. Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.
    10. Dominique Guegan, 2003. "A prospective study of the k-factor Gegenbauer processes with heteroscedastic errors and an application to inflation rates," Post-Print halshs-00201314, HAL.
    11. Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.

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