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  • Search: subject:"Markov Switching ARFIMA"
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ARMA model 1 ARMA-Modell 1 Capital income 1 Estimation 1 Forecasts Markov-switching ARFIMA ARCH 1 Hedge fund 1 Hedgefonds 1 Kapitaleinkommen 1 Markov Switching ARFIMA 1 Markov chain 1 Markov-Kette 1 Schätzung 1 Structural break 1 Strukturbruch 1 Theorie 1 Theory 1 Time series analysis 1 Volatility 1 Volatilität 1 Zeitreihenanalyse 1 hedge funds 1 persistence 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1 Undetermined 1
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Davidson, James 1 Limam, M. A. 1 Terraza, Michel 1 Terraza, Virginie 1
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International journal of financial research 1 Statistics & Probability Letters 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Hedge fund return dynamics : long memory and regime switching
Limam, M. A.; Terraza, Virginie; Terraza, Michel - In: International journal of financial research 8 (2017) 4, pp. 148-166
Persistent link: https://www.econbiz.de/10011782456
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Forecasting Markov-switching dynamic, conditionally heteroscedastic processes
Davidson, James - In: Statistics & Probability Letters 68 (2004) 2, pp. 137-147
Recursive formulae are derived for the multi-step point forecasts and forecast standard errors of Markov switching models with ARMA([infinity],q) dynamics (including the fractionally integrated case) and conditional heteroscedasticity in ARCH([infinity]) form. Hamilton's dynamic models of...
Persistent link: https://www.econbiz.de/10005223719
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