SEMIFAR forecasts, with applications to foreign exchange rates.

DOI10.1016/S0378-3758(98)00247-XzbMath1045.62530OpenAlexW2048811950MaRDI QIDQ1304356

Dirk Ocker, Jan Beran

Publication date: 1999

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-3758(98)00247-x

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (7)

On local slope estimation in partial linear models under Gaussian subordination ⋮ A nonparametric regression cross spectrum for multivariate time series ⋮ Nonparametric trend estimation in replicated time series ⋮ Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach ⋮ Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application ⋮ Data-driven local polynomial for the trend and its derivatives in economic time series ⋮ Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models

Uses Software

• longmemo

Cites Work

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• Nonparametric regression with long-range dependence
• Bandwidth selection for kernel estimate with correlated noise
• Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
• Estimating the dimension of a model
• Nonparametric regression under long-range dependent normal errors
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Choice of bandwidth for kernel regression when residuals are correlated
• A Bayesian extension of the minimum AIC procedure of autoregressive model fitting
• Bandwidth selection for kernel regression with long-range dependent errors

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