Results 211 to 217 of about 4,760 (217)

A generalized ARFIMA process with Markov-switching fractional differencing parameter

Journal of Statistical Computation and Simulation, 2009
Wen-Jen Tsay, Wolfgang Karl Härdle
exaly  

Monitoring long‐memory air quality data using ARFIMA model

Environmetrics, 2008
Jeh-Nan Pan
exaly  

Systematic inference of the long-range dependence and heavy-tail distribution parameters of ARFIMA models

Physica A: Statistical Mechanics and Its Applications, 2017
Christian L E Franzke, N W Watkins, Robert B Gramacy   +2 more
exaly  

Self-weighted quasi-maximum exponential likelihood estimator for ARFIMA-GARCH models

Journal of Statistical Planning and Inference, 2013
exaly  

Predicting expected idiosyncratic volatility: Empirical evidence from ARFIMA, HAR, and EGARCH models

Review of Quantitative Finance and Accounting
Winifred Huang, David P Newton
exaly  

ARFIMA MODEL AND THE NONLINEAR ANALYSIS OF THE CHINESE SECURITIES MARKETS

2005
YONG LIN, KAI WANG
openaire   +1 more source

Forecasting High-frequency Financial Data with the ARFIMA-ARCH Model

Journal of Forecasting, 2000
openaire   +2 more sources