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A predictive comparison of some simple long memory and short memory models of daily US stock returns, with emphasis on business cycle effects

Bhardwaj, Geetesh (contributor); … - 2005

This chapter builds on previous work by Bhardwaj and Swanson (2004) who address the notion that many fractional I(d) processes may fall into the empty boxʺ category, as discussed in Granger (1999). However, rather than focusing primarily on linear models, as do Bhardwaj and Swanson, we analyze...