Long Memory and Forecasting in Euroyen Deposit Rates
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Cited by:
- 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.
- Mohamed Chikhi & Anne Peguin-Feissolle & Michel Terraza, 2012. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Working Papers halshs-00793203, HAL.
- Mohamed Chikhi & Anne Peguin-Feissolle & Michel Terraza, 2013. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Post-Print hal-01499630, HAL.
- Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza, 2012. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," AMSE Working Papers 1214, Aix-Marseille School of Economics, France.
- Mulligan, Robert F. & Koppl, Roger, 2011. "Monetary policy regimes in macroeconomic data: An application of fractal analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(2), pages 201-211, May.
- Mulligan, Robert F., 2004. "Fractal analysis of highly volatile markets: an application to technology equities," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(1), pages 155-179, February.
- Mulligan, Robert F. & Lombardo, Gary A., 2004. "Maritime businesses: volatile stock prices and market valuation inefficiencies," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(2), pages 321-336, May.
- Burcu Kıran, 2012. "Nonlinearity and Fractional Integration in the US Dollar/Euro Exchange Rate," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 59(3), pages 325-334, June.
- Yalama, Abdullah & Celik, Sibel, 2013. "Real or spurious long memory characteristics of volatility: Empirical evidence from an emerging market," Economic Modelling, Elsevier, vol. 30(C), pages 67-72.
- Selçuk BAYRACI, 2017. "Long-memory, self-similarity and scaling of the long-term government bond yields: Evidence from Turkey and the USA," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(3(612), A), pages 71-82, Autumn.
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More about this item
Keywords
long memory; ARFIMA processes; spectral regression; unit roots; forecasting;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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