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Bayesian analysis of long memory and persistence using ARFIMA models

Citations

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Cited by:

  1. Yang Fuyu & Leon-Gonzalez Roberto, 2010. "Bayesian Estimation and Model Selection in the Generalized Stochastic Unit Root Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(4), pages 1-38, September.
  2. Kai Yang & Qingqing Zhang & Xinyang Yu & Xiaogang Dong, 2023. "Bayesian inference for a mixture double autoregressive model," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 77(2), pages 188-207, May.
  3. Manveer Kaur Mangat & Erhard Reschenhofer, 2019. "Testing for Long-Range Dependence in Financial Time Series," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 11(2), pages 93-106, June.
  4. Mark F. J. Steel, 2020. "Model Averaging and Its Use in Economics," Journal of Economic Literature, American Economic Association, vol. 58(3), pages 644-719, September.
  5. Jacek Osiewalski & Justyna Wróblewska & Kamil Makieła, 2020. "Bayesian comparison of production function-based and time-series GDP models," Empirical Economics, Springer, vol. 58(3), pages 1355-1380, March.
  6. Iglesias, Pilar & Jorquera, Hector & Palma, Wilfredo, 2006. "Data analysis using regression models with missing observations and long-memory: an application study," Computational Statistics & Data Analysis, Elsevier, vol. 50(8), pages 2028-2043, April.
  7. N. H. Chan & A. E. Brockwell, 2006. "Long-memory dynamic Tobit models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(5), pages 351-367.
  8. María Dolores Gadea & Laura Mayoral, 2006. "The Persistence of Inflation in OECD Countries: A Fractionally Integrated Approach," International Journal of Central Banking, International Journal of Central Banking, vol. 2(1), March.
  9. Andersson, Fredrik N. G. & Li, Yushu, 2014. "Are Central Bankers Inflation Nutters? - A Bayesian MCMC Estimator of the Long Memory Parameter in a State Space Model," Discussion Papers 2014/38, Norwegian School of Economics, Department of Business and Management Science.
  10. Kunal Saha & Vinodh Madhavan & Chandrashekhar G. R. & David McMillan, 2020. "Pitfalls in long memory research," Cogent Economics & Finance, Taylor & Francis Journals, vol. 8(1), pages 1733280-173, January.
  11. Fuyu Yang, 2007. "Bayesian Analysis of Deterministic Time Trend and Changes in Persistence Using a Generalised Stochastic Unit Root Model," Discussion Papers in Economics 07/11, Division of Economics, School of Business, University of Leicester.
  12. Goldman Elena & Nam Jouahn & Tsurumi Hiroki & Wang Jun, 2013. "Regimes and long memory in realized volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(5), pages 521-549, December.
  13. Gonçalves Mazzeu, Joao Henrique & Ruiz Ortega, Esther & Veiga, Helena, 2015. "Model uncertainty and the forecast accuracy of ARMA models: A survey," DES - Working Papers. Statistics and Econometrics. WS ws1508, Universidad Carlos III de Madrid. Departamento de Estadística.
  14. O. Mikhail & C. J. Eberwein & J. Handa, 2006. "Estimating persistence in Canadian unemployment: evidence from a Bayesian ARFIMA," Applied Economics, Taylor & Francis Journals, vol. 38(15), pages 1809-1819.
  15. Raggi, Davide & Bordignon, Silvano, 2012. "Long memory and nonlinearities in realized volatility: A Markov switching approach," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3730-3742.
  16. Andersson, Fredrik N.G. & Li, Yushu, 2013. "How Flexible are the Inflation Targets? A Bayesian MCMC Estimator of the Long Memory Parameter in a State Space Model," Working Papers 2013:38, Lund University, Department of Economics.
  17. Moral-Benito, Enrique, 2010. "Model averaging in economics," MPRA Paper 26047, University Library of Munich, Germany.
  18. Mohsen Mehrara & Nafiseh Behradmehr & Mitra Saboonchi, 2013. "Investigating the Long time Memory in the Future Market of Gold," International Journal of Financial Economics, Research Academy of Social Sciences, vol. 1(1), pages 28-32.
  19. Panas, E., 2001. "Long memory and chaotic models of prices on the London Metal Exchange," Resources Policy, Elsevier, vol. 27(4), pages 235-246, December.
  20. Enrique Moral-Benito, 2015. "Model Averaging In Economics: An Overview," Journal of Economic Surveys, Wiley Blackwell, vol. 29(1), pages 46-75, February.
  21. M. Dolores Gadea & Laura Mayoral, 2009. "Aggregation is not the solution: the PPP puzzle strikes back," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(6), pages 875-894.
  22. Ross Doppelt & Keith O'Hara, 2018. "Bayesian Estimation of Fractionally Integrated Vector Autoregressions and an Application to Identified Technology Shocks," 2018 Meeting Papers 1212, Society for Economic Dynamics.
  23. Ossama Mikhail & Curtis J. Eberwein & Jagdish Handa, 2003. "Testing and Estimating Persistence in Canadian Unemployment," Econometrics 0311004, University Library of Munich, Germany.
  24. Micha³ Majsterek, 2018. "Stock and Flows in the Countegration Context," Lodz Economics Working Papers 3/2018, University of Lodz, Faculty of Economics and Sociology.
  25. Gael Martin, 2001. "Bayesian Analysis Of A Fractional Cointegration Model," Econometric Reviews, Taylor & Francis Journals, vol. 20(2), pages 217-234.
  26. Chuxuan Xiao & Winifred Huang & David P. Newton, 2024. "Predicting expected idiosyncratic volatility: Empirical evidence from ARFIMA, HAR, and EGARCH models," Review of Quantitative Finance and Accounting, Springer, vol. 63(3), pages 979-1006, October.
  27. Martin, Vance L. & Wilkins, Nigel P., 1999. "Indirect estimation of ARFIMA and VARFIMA models," Journal of Econometrics, Elsevier, vol. 93(1), pages 149-175, November.
  28. Epaminondas Panas & Vassilia Ninni, 2010. "The Distribution of London Metal Exchange Prices: A Test of the Fractal Market Hypothesis," European Research Studies Journal, European Research Studies Journal, vol. 0(2), pages 192-210.
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