ARFIMA Process : Tests and Applications at a White Noise Process, A Random Walk Process and the Stock Exchange Index CAC 40
Author
Abstract
Suggested Citation
Note: View the original document on HAL open archive server: https://hal.science/hal-01491880
Download full text from publisher
References listed on IDEAS
- Lo, Andrew W, 1991.
"Long-Term Memory in Stock Market Prices,"
Econometrica, Econometric Society, vol. 59(5), pages 1279-1313, September.
- Lo, Andrew W. (Andrew Wen-Chuan), 1989. "Long-term memory in stock market prices," Working papers 3014-89., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Andrew W. Lo, 1989. "Long-term Memory in Stock Market Prices," NBER Working Papers 2984, National Bureau of Economic Research, Inc.
- Tom Doan, "undated". "RSSTATISTIC: RATS procedure to compute R/S Statistic (classical or Lo's modified)," Statistical Software Components RTS00191, Boston College Department of Economics.
- Clifford M. Hurvich & Bonnie K. Ray, 1995. "Estimation Of The Memory Parameter For Nonstationary Or Noninvertible Fractionally Integrated Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(1), pages 17-41, January.
- Ray, Bonnie K., 1993. "Long-range forecasting of IBM product revenues using a seasonal fractionally differenced ARMA model," International Journal of Forecasting, Elsevier, vol. 9(2), pages 255-269, August.
- Uwe Hassler, 1993. "Regression Of Spectral Estimators With Fractionally Integrated Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 14(4), pages 369-380, July.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2023.
"A Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting,"
Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1801-1843, December.
- Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2020. "Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting," Working Papers 202056, University of Pretoria, Department of Economics.
- Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2020. "Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting," Working papers 2020-10, University of Connecticut, Department of Economics.
- Fernando Zarzosa Valdivia, 2020. "Inflation Dynamics in the ABC (Argentina, Brazil and Chile) countries," Ensayos de Política Económica, Departamento de Investigación Francisco Valsecchi, Facultad de Ciencias Económicas, Pontificia Universidad Católica Argentina., vol. 3(2), pages 77-99, Octubre.
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.- repec:dau:papers:123456789/9331 is not listed on IDEAS
- John Barkoulas & Christopher Baum & Nickolaos Travlos, 2000.
"Long memory in the Greek stock market,"
Applied Financial Economics, Taylor & Francis Journals, vol. 10(2), pages 177-184.
- John T. Barkoulas & Christopher F. Baum & Nickolaos Travlos, 1996. "Long Memory in the Greek Stock Market," Boston College Working Papers in Economics 356., Boston College Department of Economics.
- John T. Barkoulas & Christopher F. Baum, 1997.
"Fractional Differencing Modeling And Forecasting Of Eurocurrency Deposit Rates,"
Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 20(3), pages 355-372, September.
- John Barkoulas & Christopher F. Baum, 1996. "Fractional Differencing Modeling and Forecasting of Eurocurrency Deposit Rates," Boston College Working Papers in Economics 317., Boston College Department of Economics.
- Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
- Erhard Reschenhofer & Manveer K. Mangat, 2021. "Fast computation and practical use of amplitudes at non-Fourier frequencies," Computational Statistics, Springer, vol. 36(3), pages 1755-1773, September.
- Barkoulas, John T. & Baum, Christopher F., 1996.
"Long-term dependence in stock returns,"
Economics Letters, Elsevier, vol. 53(3), pages 253-259, December.
- Christopher F. Baum & John Barkoulas, 1996. "Long Term Dependence in Stock Returns," Boston College Working Papers in Economics 314., Boston College Department of Economics.
- Paramsothy Silvapulle, 2001.
"A Score Test For Seasonal Fractional Integration And Cointegration,"
Econometric Reviews, Taylor & Francis Journals, vol. 20(1), pages 85-104.
- Param Silvapulle, 1995. "A Score Test for Seasonal Fractional Integration and Cointegration," Econometrics 9506005, University Library of Munich, Germany, revised 16 Jun 1995.
- Silvapulle, P., 1995. "A Score Test for Seasonal Fractional Integration and Cointegration," Working Papers 95-08, University of Iowa, Department of Economics.
- Guglielmo Caporale & Luis Gil-Alana, 2013.
"Long memory in US real output per capita,"
Empirical Economics, Springer, vol. 44(2), pages 591-611, April.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2009. "Long Memory in US Real Output per Capita," CESifo Working Paper Series 2671, CESifo.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2009. "Long Memory in US Real Output per Capita," Discussion Papers of DIW Berlin 891, DIW Berlin, German Institute for Economic Research.
- Yixun Xing & Wayne A. Woodward, 2021. "R-Squared-Bootstrapping for Gegenbauer-Type Long Memory," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 773-790, February.
- Carlos P. Barros & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2014.
"Long Memory in Angolan Macroeconomic Series: Mean Reversion versus Explosive Behaviour,"
African Development Review, African Development Bank, vol. 26(1), pages 59-73, March.
- Carlos Barros & Guglielmo Maria Caporale & Luis Gil-Alana, 2014. "Long Memory in Angolan Macroeconomic Series: Mean Reversion versus Explosive Behaviour," African Development Review, African Development Bank, vol. 26(1), pages 59-73.
- Luis Alberiko Gil-Alaña & Carlos Pestana Barros & Guglielmo Maria Caporale, 2014. "Long memory in Angolan macroeconomic series: mean reversion versus explosive behaviour," NCID Working Papers 01/2014, Navarra Center for International Development, University of Navarra.
- Reisen, Valdério A. & Zamprogno, Bartolomeu & Palma, Wilfredo & Arteche, Josu, 2014. "A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 98(C), pages 1-17.
- Erhard Reschenhofer & Manveer K. Mangat, 2020. "Reducing the Bias of the Smoothed Log Periodogram Regression for Financial High-Frequency Data," Econometrics, MDPI, vol. 8(4), pages 1-15, October.
- Margherita Gerolimetto & Stefano Magrini, 2020. "Testing for boundary conditions in case of fractionally integrated processes," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(2), pages 357-371, June.
- Ingolf Dittmann, 2000.
"Residual‐Based Tests For Fractional Cointegration: A Monte Carlo Study,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 21(6), pages 615-647, November.
- Dittmann, Ingolf, 1998. "Residual-based tests for fractional cointegration: A Monte Carlo study," Technical Reports 1998,09, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Ye, Xunyu & Gao, Ping & Li, Handong, 2015. "Improving estimation of the fractionally differencing parameter in the SARFIMA model using tapered periodogram," Economic Modelling, Elsevier, vol. 46(C), pages 167-179.
- José Manuel Belbute & Alfredo Marvão Pereira, 2016.
"Does final energy demand in Portugal exhibit long memory? A fractional integration analysis,"
Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 15(2), pages 59-77, August.
- José M. Belbute & Alfredo Marvão Pereira, 2015. "Does Final Energy Demand in Portugal Exhibit Long Memory? A Fractional Integration Analysis," Working Papers 163, Department of Economics, College of William and Mary.
- John Barkoulas & Christopher F. Baum, 1997. "Long Memory and Forecasting in Euroyen Deposit Rates," Boston College Working Papers in Economics 361, Boston College Department of Economics.
- Ana Pérez & Esther Ruiz, 2002.
"Modelos de memoria larga para series económicas y financieras,"
Investigaciones Economicas, Fundación SEPI, vol. 26(3), pages 395-445, September.
- Pérez, Ana, 2001. "Modelos de memoria larga para series económicas y financieras," DES - Documentos de Trabajo. EstadÃstica y EconometrÃa. DS ds010101, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2017.
"Long Memory and Data Frequency in Financial Markets,"
CESifo Working Paper Series
6396, CESifo.
- Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2017. "Long Memory and Data Frequency in Financial Markets," Discussion Papers of DIW Berlin 1647, DIW Berlin, German Institute for Economic Research.
- Chong, Terence Tai-Leung, 2000.
"Estimating the differencing parameter via the partial autocorrelation function,"
Journal of Econometrics, Elsevier, vol. 97(2), pages 365-381, August.
- Terence Tai-Leung, Chong, 1998. "Estimating the Differencing Parameter Via the Partial Autocorrelation Function," Departmental Working Papers _088, Chinese University of Hong Kong, Department of Economics.
- Carlos D. Ramirez, 2024. "The effect of economic policy uncertainty under fractional integration," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 23(1), pages 89-110, January.
More about this item
Keywords
Long-memory test; non stationary processes; ARIMA process; ARFIAM process;All these keywords.
Statistics
Access and download statisticsCorrections
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:hal:journl:hal-01491880. 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: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.