The properties of an iterative procedure for the estimation of the parameters of an ARFIMA process are investigated in a Monte Carlo study. The estimation procedure is applied to stock returns data for 15 countries
ABSTRACT: This study is an attempt to review the theory and applications of autoregressive fractiona...
L’hypothèse de linéarité est admise implicitement pour le processus générateur d’une chronique qui o...
This paper investigates the presence of long memory in the eight Central and Eastern European (CEE) ...
This paper investigates the persistence of the long memory property in the daily stock index EGX30. ...
This paper compares several estimators for estimating the long memory parameter d in ARFIMA model. W...
Processes with correlated errors have been widely used in economic time series. The fractionally int...
The thesis deal with long-memory processes which are defined by several ways. The main concern is de...
For an autoregressive fractionally integrated moving-average ARFIMA(p, d, q) process, it is often a ...
For an autoregressive fractionally integrated moving-average ARFIMA(p, d, q) process, it is often a ...
The aim of this study is twofold. First, the latest developed techniques are used to examine the lon...
It is known that, in the presence of short memory components, the estimation of the fractional param...
It is known that, in the presence of short memory components, the estimation of the fractional param...
International audienceThe assumption of linearity is implicitly accepted in the process which genera...
Recently, the study of time series turned the attention to the ones having long memory property. The...
An exploratory estimation of ARFIMA(p,d,q) models on agricultural spot and futures markets showed us...
ABSTRACT: This study is an attempt to review the theory and applications of autoregressive fractiona...
L’hypothèse de linéarité est admise implicitement pour le processus générateur d’une chronique qui o...
This paper investigates the presence of long memory in the eight Central and Eastern European (CEE) ...
This paper investigates the persistence of the long memory property in the daily stock index EGX30. ...
This paper compares several estimators for estimating the long memory parameter d in ARFIMA model. W...
Processes with correlated errors have been widely used in economic time series. The fractionally int...
The thesis deal with long-memory processes which are defined by several ways. The main concern is de...
For an autoregressive fractionally integrated moving-average ARFIMA(p, d, q) process, it is often a ...
For an autoregressive fractionally integrated moving-average ARFIMA(p, d, q) process, it is often a ...
The aim of this study is twofold. First, the latest developed techniques are used to examine the lon...
It is known that, in the presence of short memory components, the estimation of the fractional param...
It is known that, in the presence of short memory components, the estimation of the fractional param...
International audienceThe assumption of linearity is implicitly accepted in the process which genera...
Recently, the study of time series turned the attention to the ones having long memory property. The...
An exploratory estimation of ARFIMA(p,d,q) models on agricultural spot and futures markets showed us...
ABSTRACT: This study is an attempt to review the theory and applications of autoregressive fractiona...
L’hypothèse de linéarité est admise implicitement pour le processus générateur d’une chronique qui o...
This paper investigates the presence of long memory in the eight Central and Eastern European (CEE) ...
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