Search Results - subject:"ARFIMA Model"

The intraday behaviors and relationships with its underlying assets : evidence on option market in Taiwan

Lee, Mingchih; Chen, Chun-Da - In: International review of financial analysis 14 (2005) 5, pp. 587-603

Persistent link: https://www.econbiz.de/10003228991

Modeling seasonality in tourism forecasting

Kulendran, Nada; Wong, K. F. - In: Journal of travel research : a quarterly publication of … 44 (2005) 2, pp. 163-170

Persistent link: https://www.econbiz.de/10003203142

Expansions for approximate maximum likelihood estimators of the fractional difference parameter

Lieberman, Offer; Phillips, Peter C. B. - In: The econometrics journal 8 (2005) 3, pp. 367-379

Persistent link: https://www.econbiz.de/10003209151

Long-memory dynamics in a SETAR model : applications to stock markets

Dufrénot, Gilles; Guégan, Dominique; … - In: Journal of international financial markets, … 15 (2005) 5, pp. 391-406

Persistent link: https://www.econbiz.de/10003270564

Combining filter design with model-based filtering (with an application to business-cycle estimation)

Kaiser, Regina; Maravall Herrero, Agustín - In: International journal of forecasting 21 (2005) 4, pp. 691-710

Persistent link: https://www.econbiz.de/10003150693

Comments on "Combining filter design with model-based filtering"

Fernández Macho, Francisco Javier - In: International journal of forecasting 21 (2005) 4, pp. 711-715

Persistent link: https://www.econbiz.de/10003150694

Temporal aggregation of univariate linear time series model

Silvestrini, Andrea (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003155209

Modelling financial transaction price movements : a dynamic integer count data model

Liesenfeld, Roman; Nolte, Ingmar; Pohlmeier, Winfried - In: Empirical economics : a journal of the Institute for … 30 (2005) 4, pp. 795-825

Persistent link: https://www.econbiz.de/10003233759

A predictive comparison of some simple long memory and short memory models of daily US stock returns, with emphasis on business cycle effects

Bhardwaj, Geetesh (contributor); … - 2005

This chapter builds on previous work by Bhardwaj and Swanson (2004) who address the notion that many fractional I(d) processes may fall into the empty boxʺ category, as discussed in Granger (1999). However, rather than focusing primarily on linear models, as do Bhardwaj and Swanson, we analyze...

Persistent link: https://www.econbiz.de/10003698258

Modelling squared returns using a SETAR model with long-memory dynamics

Dufrénot, Gilles; Guégan, Dominique; … - In: Economics letters 86 (2005) 2, pp. 237-243

Persistent link: https://www.econbiz.de/10002584436