Bandwidth selection by cross-validation for forecasting long memory financial time series
Year of publication: |
2014
|
---|---|
Authors: | Baillie, Richard ; Kapetanios, George ; Papailias, Fotis |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 29.2014, p. 129-143
|
Subject: | Long memory | Fractional integration | Filtering | Cross-validation | Forecasting | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | ARMA-Modell | ARMA model | Schätztheorie | Estimation theory |
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