An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series

DOI10.1016/j.jeconom.2005.01.016zbMath1337.62344OpenAlexW2113173022MaRDI QIDQ292039

Geetesh Bhardwaj, Norman R. Swanson

Publication date: 10 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.01.016

zbMATH Keywords

fractional integrationlong memorystock returnsparameter estimation errorlong horizon prediction

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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