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Forecasting long memory time series when occasional breaks occur
Bisaglia, Luisa; Gerolimetto, Margherita - In: Economics letters 98 (2008) 3, pp. 253-258
Persistent link: https://www.econbiz.de/10003719142
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Testing structural breaks versus long memory with the Box-Pierce statistics : a Monte Carlo study
Bisaglia, Luisa; Gerolimetto, Margherita - In: Statistical methods & applications : SMA ; journal of … 18 (2009) 4, pp. 543-553
Persistent link: https://www.econbiz.de/10003900173
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On the power of the Augmented Dickey-Fuller test against fractional alternatives using bootstrap
Bisaglia, Luisa; Procidano, Isabella - In: Economics letters 77 (2002) 3, pp. 343-347
Persistent link: https://www.econbiz.de/10001711498
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K-factor GARMA models for intraday volatility forecasting
Bisaglia, Luisa; Bordignon, Silvano; Lisi, Francesco - In: Applied economics letters 10 (2003) 4, pp. 251-254
Persistent link: https://www.econbiz.de/10001749011
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A review on techniques of estimation in long-memory processes : application to intra-day data
Bisaglia, Luisa; Guégan, Dominique - 1996
Persistent link: https://www.econbiz.de/10000950816
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Estimation and Forecasting in INAR(P) Models Using Sieve Bootstrap
Bisaglia, Luisa - 2018
In this paper we analyse some bootstrap techniques to make inference in INAR(p) models. First of all, via Monte Carlo experiments we compare the performances of these methods when estimating the thinning parameters in INAR(p) models. We state the superiority of sieve bootstrap approaches on...
Persistent link: https://www.econbiz.de/10012924785
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Estimation and forecasting in INAR(p) models using sieve bootstrap
Bisaglia, Luisa; Gerolimetto, Margherita - 2018
Persistent link: https://www.econbiz.de/10011869097
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On the power of the Augmented Dickey-Fuller test against fractional alternatives using bootstrap
Bisaglia, Luisa; Procidano, Isabella - In: Economics Letters 77 (2002) 3, pp. 343-347
Persistent link: https://www.econbiz.de/10005361716
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Forecasting long memory time series when occasional breaks occur
Bisaglia, Luisa; Gerolimetto, Margherita - In: Economics Letters 98 (2008) 3, pp. 253-258
In this paper, in order to investigate if a long memory model will provide good forecasts even if the real DGP is affected by level shifts (as suggested by Diebold, F.X., Inoue, A., 2001. Long memory and regime switching Journal of Econometrics, 105, 131-159) we compare via simulations the...
Persistent link: https://www.econbiz.de/10005257736
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Forecasting long memory time series when occasional breaks occur
Bisaglia, Luisa; Gerolimetto, Margherita - In: Economics letters 98 (2008) 3, pp. 253-258
Persistent link: https://www.econbiz.de/10007913909