Bhardwaj, Geetesh; Swanson, Norman - Department of Economics, Rutgers University-New Brunswick - 2004
This paper addresses the notion that many fractional I(d) processes may fall into the "empty box" category, as discussed in Granger (1999). We present ex ante forecasting evidence based on an updated version of the absolute returns series examined by Ding, Granger and Engle (1993) that suggests...