Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD
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- Feng, Yuanhua & Zhou, Chen, 2015. "Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD," International Journal of Forecasting, Elsevier, vol. 31(2), pages 349-363.
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More about this item
KeywordsApproximately best linear predictor; FI-Log-ACD; financial forecasting; long memory time series; nonparametric methods; Semi-FI-Log-ACD;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-06-14 (All new papers)
- NEP-ETS-2014-06-14 (Econometric Time Series)
- NEP-FOR-2014-06-14 (Forecasting)
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