Lux, Thomas; Kaizoji, Taisei - 2004
emphasis of this paper is on assessing the performance of long memory time series models in comparison to their short-memory … counterparts. Since long memory models should have a particular advantage over long forecasting horizons, we consider predictions … of up to 100 days ahead. In most respects, the long memory models (ARFIMA, FIGARCH and the recently introduced …