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Optimal forecasts in the presence of discrete structural breaks under long memory
Mboya, Mwasi Paza; Sibbertsen, Philipp - 2022
taken into account. Using Monte Carlo simulations, we confirm that our methods substantially improve the forecasting …
Persistent link: https://www.econbiz.de/10014471687
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Optimal forecasts in the presence of discrete structural breaks under long memory
Mboya, Mwasi Paza; Sibbertsen, Philipp - 2022
taken into account. Using Monte Carlo simulations, we confirm that our methods substantially improve the forecasting …
Persistent link: https://www.econbiz.de/10014247842
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Forecasting long memory time series under a break in persistence
Heinen, Florian; Sibbertsen, Philipp; Kruse, Robinson - 2009
We consider the problem of forecasting time series with long memory when the memory parameter is subject to a … substantially reduced forecasting precision. The strength of this effect depends on whether the memory parameter is increasing or … decreasing over time. A comparison of six forecasting strategies allows us to conclude that pre-testing for a change in …
Persistent link: https://www.econbiz.de/10010270056
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Forecasting long memory time series under a break in persistence
Heinen, Florian; Sibbertsen, Philipp; Kruse, Robinson - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2009
We consider the problem of forecasting time series with long memory when the memory parameter is subject to a … substantially reduced forecasting precision. The strength of this effect depends on whether the memory parameter is increasing or … decreasing over time. A comparison of six forecasting strategies allows us to conclude that pre-testing for a change in …
Persistent link: https://www.econbiz.de/10008472006
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Forecasting long memory time series under a break in persistence
Heinen, Florian; Sibbertsen, Philipp; Kruse, Robinson - School of Economics and Management, University of Aarhus - 2009
We consider the problem of forecasting time series with long memory when the memory parameter is subject to a … substantially reduced forecasting precision. The strength of this effect depends on whether the memory parameter is increasing or … decreasing over time. A comparison of six forecasting strategies allows us to conclude that pre-testing for a change in …
Persistent link: https://www.econbiz.de/10008472104
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Forecasting long memory time series under a break in persistence
Heinen, Florian; Sibbertsen, Philipp; Kruse, Robinson - 2009
We consider the problem of forecasting time series with long memory when the memory parameter is subject to a … substantially reduced forecasting precision. The strength of this effect depends on whether the memory parameter is increasing or … decreasing over time. A comparison of six forecasting strategies allows us to conclude that pre-testing for a change in …
Persistent link: https://www.econbiz.de/10003899580
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Forecasting Long Memory Time Series Under a Break in Persistence
Sibbertsen, Philipp; Kruse, Robinson - 2009
We consider the problem of forecasting time series with long memory when the memory parameter is subject to a … substantially reduced forecasting precision. The strength of this effect depends on whether the memory parameter is increasing or … decreasing over time. A comparison of six forecasting strategies allows us to conclude that pre-testing for a change in …
Persistent link: https://www.econbiz.de/10014200842
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The memory of beta factors
Becker, Janis; Hollstein, Fabian; Prokopczuk, Marcel; … - 2019
Researchers and practitioners employ a variety of time-series processes to forecast betas, using either short-memory models or implicitly imposing infinite memory. We find that both approaches are inadequate: beta factors show consistent long-memory properties. For the vast majority of stocks,...
Persistent link: https://www.econbiz.de/10012213531
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The memory of beta factors
Becker, Janis; Hollstein, Fabian; Prokopczuk, Marcel; … - 2019
Researchers and practitioners employ a variety of time-series processes to forecast betas, using either short-memory models or implicitly imposing infinite memory. We find that both approaches are inadequate: beta factors show consistent long-memory properties. For the vast majority of stocks,...
Persistent link: https://www.econbiz.de/10012105362
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The memory of beta
Becker, Janis; Hollstein, Fabian; Prokopczuk, Marcel; … - In: Journal of banking & finance 124 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012816442