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Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models

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  1. M. Angeles Carnero & Siem Jan Koopman & Marius Ooms, 2003. "Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices," Tinbergen Institute Discussion Papers 03-071/4, Tinbergen Institute.
  2. McHale, I.G. & Peel, D.A., 2010. "Habit and long memory in UK lottery sales," Economics Letters, Elsevier, vol. 109(1), pages 7-10, October.
  3. Shelton Peiris & Manabu Asai & Michael McAleer, 2017. "Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models," JRFM, MDPI, vol. 10(4), pages 1-16, December.
  4. Martin, Gael M. & Nadarajah, K. & Poskitt, D.S., 2020. "Issues in the estimation of mis-specified models of fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 215(2), pages 559-573.
  5. Kubokawa, Tatsuya & Nagashima, Bui, 2012. "Parametric bootstrap methods for bias correction in linear mixed models," Journal of Multivariate Analysis, Elsevier, vol. 106(C), pages 1-16.
  6. Bos, Charles S. & Koopman, Siem Jan & Ooms, Marius, 2014. "Long memory with stochastic variance model: A recursive analysis for US inflation," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 144-157.
  7. G. Mesters & S. J. Koopman & M. Ooms, 2016. "Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models," Econometric Reviews, Taylor & Francis Journals, vol. 35(4), pages 659-687, April.
  8. Asai Manabu & Peiris Shelton & McAleer Michael & Allen David E., 2020. "Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates," Journal of Time Series Econometrics, De Gruyter, vol. 12(1), pages 1-18, January.
  9. Neil Kellard & Denise Osborn & Jerry Coakley & Simone D. Grose & Gael M. Martin & Donald S. Poskitt, 2015. "Bias Correction of Persistence Measures in Fractionally Integrated Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 721-740, September.
  10. Blazej Mazur, 2015. "Density forecasts based on disaggregate data: nowcasting Polish inflation," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 15, pages 71-87.
  11. Palma, Wilfredo & Bondon, Pascal & Tapia, José, 2008. "Assessing influence in Gaussian long-memory models," Computational Statistics & Data Analysis, Elsevier, vol. 52(9), pages 4487-4501, May.
  12. Valerie Mignon & Sandrine Lardic, 2004. "The exact maximum likelihood estimation of ARFIMA processes and model selection criteria: A Monte Carlo study," Economics Bulletin, AccessEcon, vol. 3(21), pages 1-16.
  13. N. H. Chan & A. E. Brockwell, 2006. "Long-memory dynamic Tobit models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(5), pages 351-367.
  14. Koopman, Siem Jan & Jungbacker, Borus & Hol, Eugenie, 2005. "Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 445-475, June.
  15. Stelios Arvanitis & Antonis Demos, 2015. "A class of indirect inference estimators: higher‐order asymptotics and approximate bias correction," Econometrics Journal, Royal Economic Society, vol. 18(2), pages 200-241, June.
  16. Rebecca J. Sela & Clifford M. Hurvich, 2009. "Computationally efficient methods for two multivariate fractionally integrated models," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(6), pages 631-651, November.
  17. Ko, Kyungduk & Lee, Jaechoul & Lund, Robert, 2008. "Confidence intervals for long memory regressions," Statistics & Probability Letters, Elsevier, vol. 78(13), pages 1894-1902, September.
  18. Bhardwaj, Geetesh & Swanson, Norman R., 2006. "An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 539-578.
  19. Proietti, Tommaso & Maddanu, Federico, 2024. "Modelling cycles in climate series: The fractional sinusoidal waveform process," Journal of Econometrics, Elsevier, vol. 239(1).
  20. Franses,Philip Hans & Dijk,Dick van & Opschoor,Anne, 2014. "Time Series Models for Business and Economic Forecasting," Cambridge Books, Cambridge University Press, number 9780521520911, November.
  21. Bos, Charles S, 2004. "Time Series Modelling using TSMod 3.24," International Journal of Forecasting, Elsevier, vol. 20(3), pages 515-522.
  22. Alexander Ayertey Odonkor & Emmanuel Nkrumah Ababio & Emmanuel Amoah- Darkwah & Richard Andoh, 2022. "Stock Returns and Long-range Dependence," Global Business Review, International Management Institute, vol. 23(1), pages 37-47, February.
  23. Andreas Noack Jensen & Morten Ørregaard Nielsen, 2014. "A Fast Fractional Difference Algorithm," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(5), pages 428-436, August.
  24. Emmanuel Dubois & Sandrine Lardic & Valérie Mignon, 2004. "The Exact Maximum Likelihood-Based Test for Fractional Cointegration: Critical Values, Power and Size," Computational Economics, Springer;Society for Computational Economics, vol. 24(3), pages 239-255, July.
  25. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2024. "Persistence and long memory in monetary policy spreads," Applied Economics, Taylor & Francis Journals, vol. 56(20), pages 2422-2433, April.
  26. Shapour Mohammadi & Ahmad Pouyanfar, 2011. "Behaviour of stock markets' memories," Applied Financial Economics, Taylor & Francis Journals, vol. 21(3), pages 183-194.
  27. Barndorff-Nielsen, Ole E. & Shephard, Neil, 2006. "Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 217-252.
  28. Jos'e Igor Morlanes, 2017. "Mixed Models as an Alternative to Farima," Papers 1712.03044, arXiv.org.
  29. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Nicola Rubino & Inmaculada Vilchez, 2024. "Modelling Loans to Non-Financial Corporations in the Eurozone: A Long-Memory Approach," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 30(3), pages 231-254, August.
  30. Doornik Jurgen A & Ooms Marius, 2004. "Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(2), pages 1-25, May.
  31. Fraire, Francisco & Leatham, David J., 2006. "Decision Making Tool to Hedge Exchange Rate Risk," 2006 Agricultural and Rural Finance Markets in Transition, October 2-3, 2006, Washington, DC 133082, Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition.
  32. D.S. Poskitt & Gael M. Martin & Simone D. Grose, 2012. "Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap," Monash Econometrics and Business Statistics Working Papers 8/12, Monash University, Department of Econometrics and Business Statistics.
  33. Barndorff-Nielsen, Ole E. & Shephard, Neil, 2006. "Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 217-252.
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