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Approximating long-memory processes with low-order autoregressions : implications for modeling realized volatility

Baillie, Richard; Cho, Dooyeon; Rho, Seunghwa - In: Empirical economics : a quarterly journal of the … 64 (2023) 6, pp. 2911-2937

Persistent link: https://www.econbiz.de/10014329017

Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process

Wang, Xiaohu; Xiao, Weilin; Yu, Jun - In: Journal of econometrics 232 (2023) 2, pp. 389-415

Persistent link: https://www.econbiz.de/10014339985

A hybrid ARFIMA wavelet artificial neural network model for DJIA index forecasting

Boubaker, Heni; Canarella, Giorgio; Gupta, Rangan; … - In: Computational economics 62 (2023) 4, pp. 1801-1843

Persistent link: https://www.econbiz.de/10014437593

The long memory of the forward premium

Baillie, Richard - In: Journal of international money and finance 13 (1994) 5, pp. 565-571

Persistent link: https://www.econbiz.de/10001171001

Frequency domain principal components estimation of fractionally cointegrated processes

Morana, Claudio - 2004

In this paper we study the zero frequency spectral properties of fractionally cointegrated long memory processes and introduce a new frequency domain principal components estimator of the cointegration space and the factor loading matrix for the long memory factors. We find that for fractionally...

Persistent link: https://www.econbiz.de/10009636544