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On spline regression under Gaussian subordination with long memory
Beran, Jan; Weiershäuser, Arno - In: Journal of Multivariate Analysis 102 (2011) 2, pp. 315-335
Motivated by an example from neurobiology, we consider estimation in a spline regression model with long-range dependent errors that are generated by Gaussian subordination. Consistency and the asymptotic distribution are derived for general Hermite ranks. Simulations illustrate the asymptotic...
Persistent link: https://www.econbiz.de/10008861553
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SEMIFAR forecasts, with applications to foreign exchange rates
Beran, Jan; Ocker, Dirk - 1999
Persistent link: https://www.econbiz.de/10004053150
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Volatility of stock market indices : an analysis based on SEMIFAR models
Beran, Jan; Ocker, Dirk - 1999
Persistent link: https://www.econbiz.de/10004053152
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SEMIFAR models with applications to commodities, exchange rates and the volatility of stock market indices
Beran, Jan (contributor) - 1999
Persistent link: https://www.econbiz.de/10004053154
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Local polynomial fitting with long-memory, short-memory and antipersistent errors
Beran, Jan; Feng, Yuanhua - 1999
Persistent link: https://www.econbiz.de/10004053158
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Local polynomial estimation with a FARIMA-GARCH error process
Beran, Jan; Feng, Yuanhua - 1999
Persistent link: https://www.econbiz.de/10004053165
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Empirical economic and financial research : theory, methods and practice ; [Festschrift in honour of Professor Siegfried Heiler]
Beran, Jan (ed.); Heiler, Siegfried (honouree);  … - 2015
Persistent link: https://www.econbiz.de/10010475442