An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series (Q292039)
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scientific article; zbMATH DE number 6591976
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| English | An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series |
scientific article; zbMATH DE number 6591976 |
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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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0.87447023
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0.86278427
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