Bandwidth Choice, Optimal Rates and Adaptivity in Semiparametric Estimation of Long Memory

Long Memory in Economics ◽

10.1007/3-540-34625-2_6 ◽

2006 ◽

pp. 157-172

Author(s):

Marc Henry

Keyword(s):

Long Memory ◽

Semiparametric Estimation

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Model Selection for Broadband Semiparametric Estimation of Long Memory in Time Series

Journal of Time Series Analysis ◽

10.1111/1467-9892.00248 ◽

2001 ◽

Vol 22 (6) ◽

pp. 679-709 ◽

Author(s):

Clifford M. Hurvich

Keyword(s):

Time Series ◽

Model Selection ◽

Long Memory ◽

Semiparametric Estimation ◽

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Global Semiparametric Estimation of Long-memory Signal Plus Noise Processes

JOURNAL OF THE JAPAN STATISTICAL SOCIETY ◽

10.14490/jjss.41.205 ◽

2012 ◽

Vol 41 (2) ◽

pp. 205-226

Author(s):

Masaki Narukawa

Keyword(s):

Long Memory ◽

Semiparametric Estimation

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Bandwidth Choice, Optimal Rates and Adaptivity in Semiparametric Estimation of Long Memory

Long Memory in Economics ◽

10.1007/978-3-540-34625-8_6 ◽

2006 ◽

pp. 157-172 ◽

Author(s):

Marc Henry

Keyword(s):

Long Memory ◽

Semiparametric Estimation

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Semiparametric estimation for seasonal long-memory time series using generalized exponential models

Journal of Statistical Planning and Inference ◽

10.1016/j.jspi.2008.09.011 ◽

2009 ◽

Vol 139 (6) ◽

pp. 1992-2009 ◽

Author(s):

Nan-Jung Hsu ◽

Henghsiu Tsai

Keyword(s):

Time Series ◽

Long Memory ◽

Semiparametric Estimation ◽

Exponential Models ◽

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Long Memory Behavior in the Chinese Stock Market Based on Semiparametric Estimation Method

2006 International Conference on Management Science and Engineering ◽

10.1109/icmse.2006.314038 ◽

2006 ◽

Author(s):

Zhao Wei ◽

He Jian-min

Keyword(s):

Stock Market ◽

Long Memory ◽

Semiparametric Estimation ◽

Estimation Method ◽

Chinese Stock Market

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Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models

Journal of Econometrics ◽

10.1016/s0304-4076(03)00158-1 ◽

2004 ◽

Vol 119 (1) ◽

pp. 131-154 ◽

Author(s):

Josu Arteche

Keyword(s):

Stochastic Volatility ◽

Long Memory ◽

Semiparametric Estimation ◽

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Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data

Journal of Econometrics ◽

10.1016/s0304-4076(99)00079-2 ◽

2000 ◽

Vol 98 (1) ◽

pp. 81-106 ◽

Author(s):

Tim Bollerslev ◽

Jonathan H. Wright

Keyword(s):

Long Memory ◽

High Frequency ◽

Semiparametric Estimation ◽

High Frequency Data ◽

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Broadband Semiparametric Estimation of the Memory Parameter of a Long‐Memory Time Series Using Fractional Exponential Models

Journal of Time Series Analysis ◽

10.1111/1467-9892.00220 ◽

2001 ◽

Vol 22 (2) ◽

pp. 221-249 ◽

Author(s):

Clifford M. Hurvich ◽

Julia Brodsky

Keyword(s):

Time Series ◽

Long Memory ◽

Semiparametric Estimation ◽

Exponential Models ◽

Memory Time ◽

Memory Parameter

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Parametric vs. semiparametric long memory: Comments on “Prediction from ARFIMA models: Comparison between MLE and semiparametric estimation”

International Journal of Forecasting ◽

10.1016/j.ijforecast.2011.02.005 ◽

2012 ◽

Vol 28 (1) ◽

pp. 54-56 ◽

Author(s):

Josu Arteche

Keyword(s):

Long Memory ◽

Semiparametric Estimation ◽

Arfima Models ◽

Models Comparison

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AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES

Journal of Time Series Analysis ◽

10.1111/j.1467-9892.1994.tb00194.x ◽

1994 ◽

Vol 15 (3) ◽

pp. 285-302 ◽

Author(s):

Clifford M. Hurvich ◽

Kaizo I. Beltrao

Keyword(s):

Time Series ◽

Long Memory ◽

Semiparametric Estimation ◽

Memory Time ◽

Memory Parameter

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