Search Results - subject:"Long memory models"

Issues in the estimation of mis-specified models of fractionally integrated processes

Martin, Gael M.; Nadarajah, K.; Poskitt, Donald Stephen - 2018

Persistent link: https://www.econbiz.de/10012583573

Issues in the Estimation of Mis-Specified Models of Fractionally Integrated Processes

Nadarajah, K.; Martin, Gael M.; Poskitt, D.S. - Department of Econometrics and Business Statistics, … - 2014

In this paper we quantify the impact of model mis-specification on the properties of parameter estimators applied to fractionally integrated processes. We demonstrate the asymptotic equivalence of four alternative parametric methods: frequency domain maximum likelihood, Whittle estimation, time...

Persistent link: https://www.econbiz.de/10010958942

Issues in the estimation of mMis-specified models of fractionally integrated processes

Nadarajah, K.; Martin, Gael M.; Poskitt, Donald Stephen - 2014

Persistent link: https://www.econbiz.de/10011780803

Business surveys modelling with Seasonal-Cyclical Long Memory models

Ferrara, Laurent; Guegan, Dominique - HAL - 2008

for modelling those series taking the persistence of the seasonal roots into account through seasonal-cyclical long memory … models. We empirically prove that such models produce more accurate forecasts than classical seasonal linear models. …

Persistent link: https://www.econbiz.de/10010738446

Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching

Lux, Thomas; Kaizoji, Taisei - 2006

-memory counterparts. Since long memory models should have a particular advantage over long forecasting horizons, we consider predictions … of up to 100 days ahead. In most respects, the long memory models (ARFIMA, FIGARCH and the recently introduced …

Persistent link: https://www.econbiz.de/10010294979