Browsing by Subject "long memory"

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  • Essays on persistence in economic time series 
    Kruse, Robinson (Hannover : Gottfried Wilhelm Leibniz Universität Hannover, 2009)
    [no abstract]
  • The memory of volatility 
    Wenger, Kai R.; Leschinski, Christian H.; Sibbertsen, Philipp (Springield : AIMS Press, 2018)
    The focus of the volatility literature on forecasting and the predominance of the conceptually simpler HAR model over long memory stochastic volatility models has led to the fact that the actual degree of memory estimates ...
  • Optimal forecasts in the presence of discrete structural breaks under long memory 
    Paza Mboya, Mwasi; Sibbertsen, Philipp (New York, NY : Wiley Interscience, 2023)
    We develop methods to obtain optimal forecast under long memory in the presence of a discrete structural break based on different weighting schemes for the observations. We observe significant changes in the forecasts when ...