Bandwidth selection by cross-validation for forecasting long memory financial time series
Richard T. Baillie; George Kapetanios; Fotis Papailias
| 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 | Schätztheorie | Estimation theory | ARMA-Modell | ARMA model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011300500