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Mean square prediction error for long-memory processes

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  • Luisa Bisaglia
  • Silvano Bordignon

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  • Luisa Bisaglia & Silvano Bordignon, 2002. "Mean square prediction error for long-memory processes," Statistical Papers, Springer, vol. 43(2), pages 161-175, April.
    • Handle: RePEc:spr:stpapr:v:43:y:2002:i:2:p:161-175
    DOI: 10.1007/s00362-002-0095-x
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    References listed on IDEAS

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    1. 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.
    2. Luisa Bisaglia & Dominique Guegan, 1998. "A comparison of techniques of estimation in long-memory processes," Post-Print halshs-00194462, HAL.
    3. Dacorogna, Michael M. & Muller, Ulrich A. & Nagler, Robert J. & Olsen, Richard B. & Pictet, Olivier V., 1993. "A geographical model for the daily and weekly seasonal volatility in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 12(4), pages 413-438, August.
    4. Ding, Zhuanxin & Granger, Clive W. J., 1996. "Modeling volatility persistence of speculative returns: A new approach," Journal of Econometrics, Elsevier, vol. 73(1), pages 185-215, July.
    5. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June.
    6. Taku Yamamoto, 1976. "Asymptotic Mean Square Prediction Error for an Autoregressive Model with Estimated Coefficients," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 25(2), pages 123-127, June.
    7. YAMAMOTO, Taku, 1976. "Asymptotic mean square prediction error for an autoregressive model with estimated coefficients," LIDAM Reprints CORE 291, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    8. Reinsel, Gregory C. & Lewis, Richard A., 1987. "Prediction mean square error for non-stationary multivariate time series using estimated parameters," Economics Letters, Elsevier, vol. 24(1), pages 57-61.
    9. 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.
    10. Richard Payne & Marc Henry, 1997. "An Investigation of Long Range Dependence in Intra-Day Foreign Exchange Rate Volatility," FMG Discussion Papers dp264, Financial Markets Group.
    11. C. W. J. Granger & Roselyne Joyeux, 1980. "An Introduction To Long‐Memory Time Series Models And Fractional Differencing," Journal of Time Series Analysis, Wiley Blackwell, vol. 1(1), pages 15-29, January.
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    Cited by:

    1. Luisa Bisaglia & Silvano Bordignon & Francesco Lisi, 2003. "k -Factor GARMA models for intraday volatility forecasting," Applied Economics Letters, Taylor & Francis Journals, vol. 10(4), pages 251-254.
    2. Bisaglia, Luisa & Gerolimetto, Margherita, 2008. "Forecasting long memory time series when occasional breaks occur," Economics Letters, Elsevier, vol. 98(3), pages 253-258, March.

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