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Convex combinations of long memory estimates from different sampling rates

  • Leonardo Souza

    ()

  • Jeremy Smith

    ()

  • Reinaldo Souza

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File URL: http://hdl.handle.net/10.1007/s00180-006-0002-3
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Article provided by Springer in its journal Computational Statistics.

Volume (Year): 21 (2006)
Issue (Month): 3 (December)
Pages: 399-413

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Handle: RePEc:spr:compst:v:21:y:2006:i:3:p:399-413
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  1. Man, K. S., 2003. "Long memory time series and short term forecasts," International Journal of Forecasting, Elsevier, vol. 19(3), pages 477-491.
  2. Chambers, Marcus J, 1998. "Long Memory and Aggregation in Macroeconomic Time Series," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 1053-72, November.
  3. 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.
  4. Souza, Leonardo Rocha, 2003. "The Aliasing Effect, the Fejer Kernel and Temporally Aggregated Long Memory Processes," Economics Working Papers (Ensaios Economicos da EPGE) 470, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  5. Bisaglia, Luisa & Guegan, Dominique, 1998. "A comparison of techniques of estimation in long-memory processes," Computational Statistics & Data Analysis, Elsevier, vol. 27(1), pages 61-81, March.
  6. 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, 09.
  7. Souza, Leonardo R. & Smith, Jeremy, 2002. "Bias in the memory parameter for different sampling rates," International Journal of Forecasting, Elsevier, vol. 18(2), pages 299-313.
  8. R. Tschernig, 1994. "Long Memory in Foreign Exchange Rates Revisited," SFB 373 Discussion Papers 1994,46, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  9. Andersson, Michael K., 2000. "Do long-memory models have long memory?," International Journal of Forecasting, Elsevier, vol. 16(1), pages 121-124.
  10. Andersson, Michael K., 1998. "Do Long-Memory Models Have Long Memory?," SSE/EFI Working Paper Series in Economics and Finance 227, Stockholm School of Economics, revised 16 Mar 2000.
  11. 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.
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