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
DOI10.1016/S0573-8555(05)76014-4zbMATH Open1301.91044OpenAlexW3123350227MaRDI QIDQ5294115FDOQ5294115
Authors: Geetesh Bhardwaj, Norman R. Swanson 
Publication date: 23 July 2007
Published in: Nonlinear Time Series Analysis of Business Cycles (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0573-8555(05)76014-4
Recommendations
- An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series
- On the forecasting ability of ARFIMA models when infrequent breaks occur
- Some simulations and applications of forecasting long-memory time-series models
- ON PREDICTION WITH FRACTIONALLY DIFFERENCED ARIMA MODELS
- Bayesian analysis of long memory and persistence using ARFIMA models
Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)
This page was built for publication: 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
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5294115)
