Optimal Convergence Rates in Nonparametric Regression with Fractional Time Series Errors
No abstract is available for this item.
|Date of creation:||16 Jan 2007|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://cofe.uni-konstanz.de
More information through EDIRC
|Order Information:|| Web: http://cofe.uni-konstanz.de Email: |
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Peter M Robinson, 2004. "ROBUST COVARIANCE MATRIX ESTIMATION: "HAC" Estimates with Long Memory/Antipersistence Correction," STICERD - Econometrics Paper Series /2004/471, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Feng, Yuanhua & Beran, Jan & Yu, Keming, 2006.
"Modelling financial time series with SEMIFAR-GARCH model,"
1593, University Library of Munich, Germany.
- Yuanhua Feng & Jan Beran & Keming Yu, 2007. "Modelling financial time series with SEMIFAR-GARCH model," CoFE Discussion Paper 07-14, Center of Finance and Econometrics, University of Konstanz.
- Jan Beran & Yuanhua Feng, 2002. "Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent Errors," Annals of the Institute of Statistical Mathematics, Springer, vol. 54(2), pages 291-311, June.
- Wolfgang Härdle & Julius Mungo, 2007. "Long Memory Persistence in the Factor of Implied Volatility Dynamics," SFB 649 Discussion Papers SFB649DP2007-027, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Jan Beran, 1999. "SEMIFAR Models - A Semiparametric Framework for Modelling Trends, Long Range Dependence and Nonstationarity," CoFE Discussion Paper 99-16, Center of Finance and Econometrics, University of Konstanz.
- Beran, Jan & Feng, Yuanhua, 2002. "SEMIFAR models--a semiparametric approach to modelling trends, long-range dependence and nonstationarity," Computational Statistics & Data Analysis, Elsevier, vol. 40(2), pages 393-419, August.
- 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.
- Jan Beran & Yuanhua Feng, 1999. "Local Polynomial Estimation with a FARIMA-GARCH Error Process," CoFE Discussion Paper 99-08, Center of Finance and Econometrics, University of Konstanz.
When requesting a correction, please mention this item's handle: RePEc:knz:cofedp:0715. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ingmar Nolte)The email address of this maintainer does not seem to be valid anymore. Please ask Ingmar Nolte to update the entry or send us the correct address
If references are entirely missing, you can add them using this form.