On the forecasting ability of ARFIMA models when infrequent breaks occur
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Cites work
- A simple nonlinear time series model with misleading linear properties
- scientific article; zbMATH DE number 3860263 (Why is no real title available?)
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- scientific article; zbMATH DE number 912024 (Why is no real title available?)
- Long memory and regime switching
- Long memory processes and fractional integration in econometrics
- Memory and infrequent breaks
- Moments of Markov switching models
Cited in
(8)- Forecasting long memory time series when occasional breaks occur
- Forecasting a long memory process subject to structural breaks
- An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series
- Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation
- An Empirical Strategy to Detect Spurious Effects in Long Memory and Occasional-Break Processes
- Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
- Chapter 14 A Predictive Comparison of Some Simple Long- and Short Memory Models of Daily U.S. Stock Returns, with Emphasis on Business Cycle Effects
- Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches
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