Forecasting a long memory process subject to structural breaks
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Publication:2453079
DOI10.1016/j.jeconom.2013.04.006zbMath1288.62142OpenAlexW2141621500MaRDI QIDQ2453079
Cindy Shin-Huei Wang, Cheng Hsiao, Luc Bauwens
Publication date: 6 June 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2013.04.006
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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