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A note on moving average forecasts of long memory processes with an application to quality control

Ramjee, Radhika; Crato, Nuno; Ray, Bonnie K. - In: International journal of forecasting 18 (2002) 2, pp. 291-298

Persistent link: https://www.econbiz.de/10006974888

A mild skepticism on nonlinear forecasting : some comments on the paper by Harvill and Ray

Crato, Nuno - In: International journal of forecasting 21 (2005) 4, pp. 729-730

Persistent link: https://www.econbiz.de/10003150698

Memory in returns and volatilities of futures' contracts

Crato, Nuno; Ray, Bonnie K. - In: The journal of futures markets 20 (2000) 6, pp. 525-543

Persistent link: https://www.econbiz.de/10001509972

Model selection and forecasting for long-range dependent processes

Crato, Nuno - In: Journal of forecasting 15 (1996) 2, pp. 107-125

Persistent link: https://www.econbiz.de/10001195085

Memory in Returns and Volatilities of Futures' Contracts

Crato, Nuno; Ray, Bonnie K. - In: The journal of futures markets 20 (2000) 6, pp. 525-544

Persistent link: https://www.econbiz.de/10006837506

Memory in returns and volatilities of futures' contracts

Crato, Nuno; Ray, Bonnie K. - In: Journal of Futures Markets 20 (2000) 6, pp. 525-543

Various authors claim to have found evidence of stochastic long‐memory behavior in futures’ contract returns using the Hurst statistic. This paper reexamines futures’ returns for evidence of persistent behavior using a biased‐corrected version of the Hurst statistic, a nonparametric...

Persistent link: https://www.econbiz.de/10011197206