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This paper studies the ability of the k -factor GARMA processes to model and forecast the volatility of an intraday financial time series. Forecasting results from the k -factor GARMA model are obtained and compared with those produced by a conventional SARIMA model.
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In this paper, in order to investigate if a long memory model will provide good forecasts even if the real DGP is affected by level shifts (as suggested by Diebold, F.X., Inoue, A., 2001. Long memory and regime switching Journal of Econometrics, 105, 131-159) we compare via simulations the...
Persistent link: https://www.econbiz.de/10005257736
In this paper, we consider the problem of robust estimation of the fractional parameter, d, in long memory autoregressive fractionally integrated moving average processes, when two types of outliers, i.e. additive and innovation, are taken into account without knowing their number, position or...
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In this paper, we discuss the parameter estimation for a k-factor generalized long memory process with conditionally heteroskedastic noise. Two estimation methods are proposed. The first method is based on the conditional distribution of the process and the second is obtained as an extension of...
Persistent link: https://www.econbiz.de/10005510593
Testing the fractionally integrated order of seasonal and non-seasonal unit roots is quite important for the economic and financial time series modelling. In this paper, Robinson test (1994) is applied to various well-known long memory models. Via Monte Carlo experiments, we study and compare...
Persistent link: https://www.econbiz.de/10005510606
Business surveys are an important element in the analysis of the short-term economic situation because of the timeliness and nature of the information they convey. Especially, surveys are often involved in econometric models in order to provide an early assessment of the current state of the...
Persistent link: https://www.econbiz.de/10005510611
In this paper we deal with the problem of non-stationarity encountered in a lot of data sets, mainly in financial and economics domains, coming from the presence of multiple seasonnalities, jumps, volatility, distorsion, aggregation, etc. Existence of non-stationarity involves spurious behaviors...
Persistent link: https://www.econbiz.de/10005510618