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SEMIFAR models : a semiparametric framework for modelling trends, long range dependence and nonstationarity
Beran, Jan - 1999
Persistent link: https://www.econbiz.de/10001387131
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A nonparametric regression cross spectrum for multivariate time series
Beran, Jan - 2008
We consider dependence structures in multivariate time series that are characterized by deterministic trends. Results from spectral analysis for stationary processes are extended to deterministic trend functions. A regression cross covariance and spectrum are defined. Estimation of these...
Persistent link: https://www.econbiz.de/10003876876
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Local polynomial fitting with long-memory, short-memory and antipersistent errors
Beran, Jan; Feng, Yuanhua - 1999
Persistent link: https://www.econbiz.de/10001400363
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Local polynomial estimation with a FARIMA-GARCH error process
Beran, Jan; Feng, Yuanhua - 1999
Persistent link: https://www.econbiz.de/10001400379
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Data-driven estimation of semiparametric fractional autoregressive models
Beran, Jan; Feng, Yuanhua - 2000
Persistent link: https://www.econbiz.de/10001485225
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SEMIFAR models
Beran, Jan; Feng, Yuanhua; Ocker, Dirk - 1999
Persistent link: https://www.econbiz.de/10001366045
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SEMIFAR forecasts, with applications to foreign exchange rates
Beran, Jan; Ocker, Dirk - 1999
Persistent link: https://www.econbiz.de/10001387125
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SEMIFAR models, with applications to commodities, exchange rates and the volatility of stock market indices
Beran, Jan (contributor) - 1999
Persistent link: https://www.econbiz.de/10001387141
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On robust local polynominal estimation with long-memory errors
Beran, Jan (contributor) - 2000
Persistent link: https://www.econbiz.de/10001601961
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Nonparametric M-estimation with long-memory errors
Beran, Jan; Ghosh, Sucharita; Sibbertsen, Philipp - 2000
Persistent link: https://www.econbiz.de/10001601969