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~subject:"Time series analysis"
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Search: subject:"Long memory models"
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Time series analysis
Long memory models
10
Zeitreihenanalyse
9
Volatility
7
long memory models
6
Volatilität
5
ARMA model
4
ARMA-Modell
4
Forecasting
4
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Börsenkurs
3
Estimation theory
3
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conditional sum of squares
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Aktienmarkt
2
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2
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Maximum likelihood estimation
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Persistence
2
Renewable energy consumption
2
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2
Seasonality
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Tapered periodogram
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Unit roots
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frequency domain
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maximum likelihood
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mean squared error
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pseudo true parameter
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Martin, Gael M.
3
Nadarajah, K.
3
Poskitt, Donald Stephen
3
Andrada Félix, Julián
1
Barros, Carlos Pestana
1
Diaz, John Francis T.
1
Fernández Rodríguez, Fernando
1
Fuertes, Ana María
1
Gao, Ping
1
Gil-Alaña, Luis A.
1
Li, Handong
1
Masa, Argel S.
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Ye, Xunyu
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Working paper / Department of Econometrics and Business Statistics, Monash University
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Economic modelling
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Energy economics
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International journal of forecasting
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Margin: the journal of applied economic research
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ECONIS (ZBW)
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Issues in the estimation of mis-specified models of fractionally integrated processes
Martin, Gael M.
;
Nadarajah, K.
;
Poskitt, Donald Stephen
-
2018
Persistent link: https://www.econbiz.de/10012583573
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2
Issues in the estimation of mis-specified models of fractionally integrated processes
Martin, Gael M.
;
Nadarajah, K.
;
Poskitt, Donald Stephen
- In:
Journal of econometrics
215
(
2020
)
2
,
pp. 559-573
Persistent link: https://www.econbiz.de/10012439500
Saved in:
3
Issues in the estimation of mMis-specified models of fractionally integrated processes
Nadarajah, K.
;
Martin, Gael M.
;
Poskitt, Donald Stephen
-
2014
Persistent link: https://www.econbiz.de/10011780803
Saved in:
4
Long-memory modelling and forecasting of the returns and volatility of Exchange-traded Notes (ETNs)
Masa, Argel S.
;
Diaz, John Francis T.
- In:
Margin: the journal of applied economic research
11
(
2017
)
1
,
pp. 23-53
Persistent link: https://www.econbiz.de/10011690923
Saved in:
5
Combining nearest neighbor predictions and model-based predictions of realized variance : does it pay?
Andrada Félix, Julián
;
Fernández Rodríguez, Fernando
; …
- In:
International journal of forecasting
32
(
2016
)
3
,
pp. 695-715
Persistent link: https://www.econbiz.de/10011621779
Saved in:
6
Improving estimation of the fractionally differencing parameter in the SARFIMA model using tapered periodogram
Ye, Xunyu
;
Gao, Ping
;
Li, Handong
- In:
Economic modelling
46
(
2015
),
pp. 167-179
Persistent link: https://www.econbiz.de/10011436579
Saved in:
7
US disaggregated renewable energy consumption : persistence and long memory behavior
Barros, Carlos Pestana
;
Gil-Alaña, Luis A.
;
Payne, James E.
- In:
Energy economics
40
(
2013
),
pp. 425-432
Persistent link: https://www.econbiz.de/10010351673
Saved in:
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