SEMIFAR forecasts, with applications to foreign exchange rates.

DOI10.1016/S0378-3758(98)00247-XMaRDI QIDQ1304356zbMATH OpenOpenAlexFDO

Authors Jan Beran, Dirk Ocker

Publication date 1999

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0378-3758(98)00247-x

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• SEMIFAR models -- a semiparametric approach to modelling trends, long-range dependence and nonstationarity
• Modelling financial time series with SEMIFAR GARCH model
• Semiparametric forecast intervals
• A semiparametric GARCH model for foreign exchange volatility

Cites work

• A Bayesian extension of the minimum AIC procedure of autoregressive model fitting
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
• Bandwidth selection for kernel estimate with correlated noise
• Bandwidth selection for kernel regression with long-range dependent errors
• Choice of bandwidth for kernel regression when residuals are correlated
• Estimating the dimension of a model
• Fractional differencing
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• Nonparametric regression under long-range dependent normal errors
• Nonparametric regression with long-range dependence

Cited in

(11)

• Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
• Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models
• A nonparametric regression cross spectrum for multivariate time series
• Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application
• On local slope estimation in partial linear models under Gaussian subordination
• Semiparametric forecast intervals
• Data-driven local polynomial for the trend and its derivatives in economic time series
• Nonparametric trend estimation in replicated time series
• An extended exponential SEMIFAR model with application in R
• Forecasting economic growth by combining local linear and standard approaches
• Forecasting and hedging in the foreign exchange markets.

Describes a project that uses

Uses Software

• longmemo

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