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  • Search: subject:"Nonparametric scale function"
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Subject
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Nonparametric scale function 2 ARCH model 1 ARCH-Modell 1 ARMA model 1 ARMA-Modell 1 Approximately best linear predictor 1 Average durations 1 Capital income 1 Exponential ACD 1 Exponential FARIMA 1 Exponential SEMIFAR 1 Financial forecasting 1 Financial market 1 Finanzmarkt 1 Forecasting model 1 Kapitaleinkommen 1 Long memory 1 Long-memory MEM model 1 Nichtparametrisches Verfahren 1 Nonparametric statistics 1 Prognoseverfahren 1 Realized volatility 1 Semi-FI-Log-ACD 1 Theorie 1 Theory 1 Time series analysis 1 Volatility 1 Volatilität 1 Zeitreihenanalyse 1
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Undetermined 2
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Feng, Yuanhua 2 Beran, Jan 1 Chen Zhou 1 Ghosh, Sucharita 1
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International journal of forecasting 1 Statistical Papers / Springer 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models
Beran, Jan; Feng, Yuanhua; Ghosh, Sucharita - In: Statistical Papers 56 (2015) 2, pp. 431-451
Duration series often exhibit long-range dependence and local nonstationarities. Here, exponential FARIMA (EFARIMA) and exponential SEMIFAR (ESEMIFAR) models are introduced. These models capture simultaneously nonstationarities in the mean as well as short- and long-range dependence, while...
Persistent link: https://www.econbiz.de/10011241320
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Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD
Feng, Yuanhua; Chen Zhou - In: International journal of forecasting 31 (2015) 2, pp. 349-363
Persistent link: https://www.econbiz.de/10011474104
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