SEMIFAR forecasts, with applications to foreign exchange rates.

DOI10.1016/S0378-3758(98)00247-XzbMath1045.62530MaRDI QIDQ1304356

Jan Beran, Dirk Ocker

Publication date: 1999

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

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

Related Items

Nonparametric trend estimation in replicated time series, A nonparametric regression cross spectrum for multivariate time series, Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application

Uses Software

• longmemo

Cites Work

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