An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series (Q292039): Difference between revisions
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| Property / Mathematics Subject Classification ID: 62P20 / rank | |||
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| Property / Mathematics Subject Classification ID: 91B84 / rank | |||
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| Property / zbMATH DE Number: 6591976 / rank | |||
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fractional integration | |||
| Property / zbMATH Keywords: fractional integration / rank | |||
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long memory | |||
| Property / zbMATH Keywords: long memory / rank | |||
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parameter estimation error | |||
| Property / zbMATH Keywords: parameter estimation error / rank | |||
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stock returns | |||
| Property / zbMATH Keywords: stock returns / rank | |||
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long horizon prediction | |||
| Property / zbMATH Keywords: long horizon prediction / rank | |||
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Revision as of 20:00, 27 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series |
scientific article |
Statements
An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series (English)
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10 June 2016
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fractional integration
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long memory
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parameter estimation error
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stock returns
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long horizon prediction
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