Fractional integration and interval prediction

DOI10.1016/0165-1765(95)00772-5zbMath0875.62600OpenAlexW2030372368MaRDI QIDQ1351229

Francis X. Diebold, Peter Lindner

Publication date: 27 February 1997

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(95)00772-5

zbMATH Keywords

ForecastingLong memoryPrediction intervalReal interest rates

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; economic indices and measures (91B82)

Related Items (1)

Waves and persistence in merger and acquisition activity

Cites Work

• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• The Fractional Unit Root Distribution
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• When are Variance Ratio Tests for Serial Dependence Optimal?
• Long-Term Memory in Stock Market Prices

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