Parametric vs. semiparametric long memory: Comments on “Prediction from ARFIMA models: Comparison between MLE and semiparametric estimation”
Author:
Funder
FEDER
Publisher
Elsevier BV
Subject
Business and International Management
Reference6 articles.
1. Adaptive local polynomial Whittle estimation of long-range dependence;Andrews;Econometrica,2004
2. Bootstrap-based bandwidth choice for log periodogram regression;Arteche;Journal of Time Series Analysis,2009
3. An introduction to long memory time series models and fractional differencing;Granger;Journal of Time Series Analysis,1980
4. Bandwidth choice in Gaussian semi-parametric estimation of long range dependence;Henry,1996
5. Prediction and signal extraction of strongly dependent processes in the frequency domain;Hidalgo;Econometric Theory,2002
Cited by 2 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Forecasting under Long Memory;Journal of Financial Econometrics;2021-08-18
2. Fractionally integrated ARMA for crude palm oil prices prediction: case of potentially overdifference;Journal of Applied Statistics;2013-08-06
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