IDEAS home Printed from https://ideas.repec.org/a/eee/csdana/v40y2002i2p393-419.html
   My bibliography  Save this article

SEMIFAR models--a semiparametric approach to modelling trends, long-range dependence and nonstationarity

Author

Listed:
  • Beran, Jan
  • Feng, Yuanhua

Abstract

No abstract is available for this item.

Suggested Citation

  • Beran, Jan & Feng, Yuanhua, 2002. "SEMIFAR models--a semiparametric approach to modelling trends, long-range dependence and nonstationarity," Computational Statistics & Data Analysis, Elsevier, vol. 40(2), pages 393-419, August.
    • Handle: RePEc:eee:csdana:v:40:y:2002:i:2:p:393-419
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-9473(02)00007-5
    Download Restriction: Full text for ScienceDirect subscribers only.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Mandelbrot, Benoit B, 1971. "When Can Price Be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models," The Review of Economics and Statistics, MIT Press, vol. 53(3), pages 225-236, August.
    2. Jan Beran & Yuanhua Feng, 2002. "Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent Errors," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 54(2), pages 291-311, June.
    3. Hall, Peter & Hart, Jeffrey D., 1990. "Nonparametric regression with long-range dependence," Stochastic Processes and their Applications, Elsevier, vol. 36(2), pages 339-351, December.
    4. Beran, Jan & Feng, Yuanhua, 2000. "Data-driven estimation of semiparametric fractional autoregressive models," CoFE Discussion Papers 00/16, University of Konstanz, Center of Finance and Econometrics (CoFE).
    5. L. C. G. Rogers, 1997. "Arbitrage with Fractional Brownian Motion," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 95-105, January.
    6. Liu, Christina Y & He, Jia, 1991. "A Variance-Ratio Test of Random Walks in Foreign Exchange Rates," Journal of Finance, American Finance Association, vol. 46(2), pages 773-785, June.
    7. Cheung, Yin-Wong, 1993. "Long Memory in Foreign-Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 93-101, January.
    8. Chiu, Shean-Tsong, 1989. "Bandwidth selection for kernel estimate with correlated noise," Statistics & Probability Letters, Elsevier, vol. 8(4), pages 347-354, September.
    9. Rohit S. Deo & Clifford M. Hurvich, 1998. "Linear Trend with Fractionally Integrated Errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 19(4), pages 379-397, July.
    10. Fong, Wai Mun & Ouliaris, Sam, 1995. "Spectral Tests of the Martingale Hypothesis for Exchange Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(3), pages 255-271, July-Sept.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza, 2013. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Computational Economics, Springer;Society for Computational Economics, vol. 41(2), pages 249-265, February.
    2. Claudio Morana, 2014. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks," Working Papers 273, University of Milano-Bicocca, Department of Economics, revised May 2014.
    3. Moghtaderi, Azadeh & Flandrin, Patrick & Borgnat, Pierre, 2013. "Trend filtering via empirical mode decompositions," Computational Statistics & Data Analysis, Elsevier, vol. 58(C), pages 114-126.
    4. Zhongjun Qu, 2011. "A Test Against Spurious Long Memory," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(3), pages 423-438, July.
    5. Beran, Jan & Ocker, Dirk, 2002. "Pricing of cap-interest rates based on renewal processes," CoFE Discussion Papers 02/10, University of Konstanz, Center of Finance and Econometrics (CoFE).
    6. Feng, Yuanhua & Zhou, Chen, 2015. "Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD," International Journal of Forecasting, Elsevier, vol. 31(2), pages 349-363.
    7. Sibbertsen, Philipp & Leschinski, Christian & Busch, Marie, 2018. "A multivariate test against spurious long memory," Journal of Econometrics, Elsevier, vol. 203(1), pages 33-49.
    8. Mohamed CHIKHI & Claude DIEBOLT & Tapas MISHRA, 2019. "Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model," Working Papers 07-19, Association Française de Cliométrie (AFC).
    9. Rob J Hyndman & Maxwell L. King & Ivet Pitrun & Baki Billah, 2002. "Local Linear Forecasts Using Cubic Smoothing Splines," Monash Econometrics and Business Statistics Working Papers 10/02, Monash University, Department of Econometrics and Business Statistics.
    10. Feng, Yuanhua & Yu, Keming, 2006. "Nonparametric estimation of time-varying covariance matrix in a slowly changing vector random walk model," MPRA Paper 1597, University Library of Munich, Germany.
    11. Rinke, Saskia & Busch, Marie & Leschinski, Christian, 2017. "Long Memory, Breaks, and Trends: On the Sources of Persistence in Inflation Rates," Hannover Economic Papers (HEP) dp-584, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    12. Feng, Yuanhua & Beran, Jan & Yu, Keming, 2006. "Modelling financial time series with SEMIFAR-GARCH model," MPRA Paper 1593, University Library of Munich, Germany.
    13. Beran, Jan & Shumeyko, Yevgen, 2012. "Bootstrap testing for discontinuities under long-range dependence," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 322-347.
    14. Feng, Yuanhua & McNeil, Alexander J., 2008. "Modelling of scale change, periodicity and conditional heteroskedasticity in return volatility," Economic Modelling, Elsevier, vol. 25(5), pages 850-867, September.
    15. Beran, Jan & Feng, Yuanhua, 2002. "Recent Developments in Non- and Semiparametric Regression with Fractional Time Series Errors," CoFE Discussion Papers 02/13, University of Konstanz, Center of Finance and Econometrics (CoFE).
    16. Beran, Jan & Weiershäuser, Arno, 2011. "On spline regression under Gaussian subordination with long memory," Journal of Multivariate Analysis, Elsevier, vol. 102(2), pages 315-335, February.
    17. Euan T. McGonigle & Rebecca Killick & Matthew A. Nunes, 2022. "Trend locally stationary wavelet processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(6), pages 895-917, November.
    18. Yuanhua Feng & Thomas Gries, 2017. "Data-driven local polynomial for the trend and its derivatives in economic time series," Working Papers CIE 102, Paderborn University, CIE Center for International Economics.
    19. Feng, Yuanhua, 2006. "A local dynamic conditional correlation model," MPRA Paper 1592, University Library of Munich, Germany.
    20. Jing Wang, 2012. "Modelling time trend via spline confidence band," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(2), pages 275-301, April.
    21. Boubaker, Heni & Sghaier, Nadia, 2015. "Semiparametric generalized long-memory modeling of some mena stock market returns: A wavelet approach," Economic Modelling, Elsevier, vol. 50(C), pages 254-265.
    22. Dalla, Violetta & Giraitis, Liudas & Robinson, Peter M., 2020. "Asymptotic theory for time series with changing mean and variance," Journal of Econometrics, Elsevier, vol. 219(2), pages 281-313.
    23. Chun-Hung Chen & Wei-Choun Yu & Eric Zivot, 2009. "Predicting Stock Volatility Using After-Hours Information," Working Papers UWEC-2009-01, University of Washington, Department of Economics.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Beran, Jan, 1999. "SEMIFAR Models - A Semiparametric Framework for Modelling Trends, Long Range Dependence and Nonstationarity," CoFE Discussion Papers 99/16, University of Konstanz, Center of Finance and Econometrics (CoFE).
    2. Beran, Jan & Feng, Yuanhua & Franke, Günter & Hess, Dieter & Ocker, Dirk, 1999. "SEMIFAR Models, with Applications to Commodities, Exchange Rates and the Volatility of Stock Market Indices," CoFE Discussion Papers 99/18, University of Konstanz, Center of Finance and Econometrics (CoFE).
    3. Beran, Jan & Ocker, Dirk, 1999. "SEMIFAR Forecasts, with Applications to Foreign Exchange Rates," CoFE Discussion Papers 99/13, University of Konstanz, Center of Finance and Econometrics (CoFE).
    4. Beran, Jan & Feng, Yuanhua & Ocker, Dirk, 1999. "SEMIFAR models," Technical Reports 1999,03, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    5. Beran, Jan & Feng, Yuanhua, 2002. "Recent Developments in Non- and Semiparametric Regression with Fractional Time Series Errors," CoFE Discussion Papers 02/13, University of Konstanz, Center of Finance and Econometrics (CoFE).
    6. Beran, Jan, 2002. "Prediction of 0-1-events for short- and long-memory time series," CoFE Discussion Papers 02/11, University of Konstanz, Center of Finance and Econometrics (CoFE).
    7. Kuan Chung-Ming & Lee Wei-Ming, 2004. "A New Test of the Martingale Difference Hypothesis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(4), pages 1-26, December.
    8. Philipp Sibbertsen, 2004. "Long memory versus structural breaks: An overview," Statistical Papers, Springer, vol. 45(4), pages 465-515, October.
    9. Batten, Jonathan & Ellis, Craig & Fetherston, Thomas A., 2000. "Are long-term return anomalies illusions?: Evidence from the spot Yen," Japan and the World Economy, Elsevier, vol. 12(4), pages 337-349, December.
    10. Yuanhua Feng & Jan Beran, 2013. "Optimal convergence rates in non-parametric regression with fractional time series errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(1), pages 30-39, January.
    11. Onali, Enrico & Goddard, John, 2011. "Are European equity markets efficient? New evidence from fractal analysis," International Review of Financial Analysis, Elsevier, vol. 20(2), pages 59-67, April.
    12. Feng, Yuanhua, 2003. "Kernel Dependent Functions in Nonparametric Regression with Fractional Time Series Errors," CoFE Discussion Papers 03/02, University of Konstanz, Center of Finance and Econometrics (CoFE).
    13. Ellis, Craig, 1999. "Estimation of the ARFIMA (p, d, q) fractional differencing parameter (d) using the classical rescaled adjusted range technique," International Review of Financial Analysis, Elsevier, vol. 8(1), pages 53-65.
    14. Peter C. B. Phillips & Sainan Jin, 2014. "Testing the Martingale Hypothesis," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(4), pages 537-554, October.
    15. Beran, Jan & Feng, Yuanhua & Ghosh, Sucharita & Sibbertsen, Philipp, 2002. "On robust local polynomial estimation with long-memory errors," International Journal of Forecasting, Elsevier, vol. 18(2), pages 227-241.
    16. Proelss, Juliane & Schweizer, Denis & Seiler, Volker, 2020. "The economic importance of rare earth elements volatility forecasts," International Review of Financial Analysis, Elsevier, vol. 71(C).
    17. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
    18. Craig Ellis, 1999. "The Price of Risk," Working Paper Series 86, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    19. Beran, Jan & Shumeyko, Yevgen, 2012. "Bootstrap testing for discontinuities under long-range dependence," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 322-347.
    20. Charles, Amélie & Darné, Olivier & Kim, Jae H., 2012. "Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1607-1626.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:40:y:2002:i:2:p:393-419. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/csda .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.