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Forecasting long memory processes subject to structural breaks
WANG, Shin-Huei; BAUWENS, Luc; HSIAO, Cheng - Center for Operations Research and Econometrics (CORE), … - 2012
We develop an easy-to-implement method for forecasting a stationary autoregressive fractionally integrated moving … rates illustrates the usefulness of our forecasting procedure. The empirical success of the HAR-RV model is explained, from … an econometric perspective, by our theoretical and simulation results. …
Persistent link: https://www.econbiz.de/10010927723
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An easy test for two stationary long processes being uncorrelated via AR approximations
WANG, Shin-Huei; HSIAO, Cheng - Center for Operations Research and Econometrics (CORE), … - 2008
This paper proposes an easy test for two stationary autoregressive fractionally integrated moving average (ARFIMA) processes being uncorrelated via AR approximations. We prove that an ARFIMA process can be approximated well by an autoregressive (AR) model and establish the theoretical foundation...
Persistent link: https://www.econbiz.de/10005065306