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Modeling Long-Range Dependence, Nonlinearity, and Periodic Phenomena in Sea Surface Temperatures Using TSMARS
Lewis, Peter A.W.; Ray, Bonnie K. - In: Journal of the American Statistical Association : JASA 92 (1997) 439, pp. 881-893
Persistent link: https://www.econbiz.de/10006630216
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Memory in Returns and Volatilities of Futures' Contracts
Crato, Nuno; Ray, Bonnie K. - In: The journal of futures markets 20 (2000) 6, pp. 525-544
Persistent link: https://www.econbiz.de/10006837506
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Long-Range Dependence in Daily Stock Volatilities
Ray, Bonnie K.; Tsay, Ruey S. - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 2, pp. 254-262
Persistent link: https://www.econbiz.de/10008217904
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A note on moving average forecasts of long memory processes with an application to quality control
Ramjee, Radhika; Crato, Nuno; Ray, Bonnie K. - In: International journal of forecasting 18 (2002) 2, pp. 291-298
Persistent link: https://www.econbiz.de/10006974888
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Bayesian prediction for vector ARFIMA processes
Ravishanker, Nalini; Ray, Bonnie K. - In: International journal of forecasting 18 (2002) 2, pp. 207-214
Persistent link: https://www.econbiz.de/10006974894
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Forecasting by ARIMA methods : a comparison of integer and fractionally differenced models
Chen, Shaw; Jarrett, Jeffrey; Ray, Bonnie K. - In: Advances in business and management forecasting 3 (2002), pp. 125-141
Persistent link: https://www.econbiz.de/10009897701
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A note on multi-step forecasting with functional coefficient autoregressive models
Harvill, Jane L.; Ray, Bonnie K. - In: International journal of forecasting 21 (2005) 4, pp. 717-728
Persistent link: https://www.econbiz.de/10006957818
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Theory and Methods - Semiparametric Estimation of Multivariate Fractional Cointegration
Chen, Willa W.; Hurvich, Clifford M. - In: Journal of the American Statistical Association : JASA 98 (2003) 463, pp. 629-642
Persistent link: https://www.econbiz.de/10006612041
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Predictive Regressions: A Reduced-Bias Estimation Method
Amihud, Yakov; Hurvich, Clifford M. - In: Journal of financial and quantitative analysis : JFQA 39 (2004) 4, pp. 813-842
Persistent link: https://www.econbiz.de/10006692506
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Estimating Long Memory in Volatility
Hurvich, Clifford M.; Moulines, Eric; Soulier, Philippe - In: Econometrica : journal of the Econometric Society, an … 73 (2005) 4, pp. 1283-1328
Persistent link: https://www.econbiz.de/10006752161