Baillie, Richard T.; Kapetanios, George; Papailias, Fotis - In: Journal of Empirical Finance 29 (2014) C, pp. 129-143
The paper addresses the issue of choice of bandwidth in the application of semiparametric estimation of the long memory parameter in a univariate time series process. The focus is on the properties of forecasts from the long memory model. A variety of cross-validation methods based on out of...