Narrow search
Showing 1 - 10 of 91
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Some international evidence regarding the stochastic memory of stock returns
Crato, Nuno - In: Applied financial economics 4 (1994) 1, pp. 33-39
Persistent link: https://www.econbiz.de/10001156149
Cover Image
Persistence in Portuguese economic activity
Crato, Nuno - In: Estudos de economia 12 (1992) 4, pp. 341-352
Persistent link: https://www.econbiz.de/10001161250
Cover Image
On sliding simulation in forecasting
Crato, Nuno - In: Economia : revista quadrimestral 19 (1995) 1, pp. 95-106
Persistent link: https://www.econbiz.de/10001210096
Cover Image
Modelização econométrica em espaço de estados : estimação e previsão com filtro de Kalman
Crato, Nuno - In: Estudos de economia 10 (1990) 3, pp. 315-348
Persistent link: https://www.econbiz.de/10001106138