[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/a/bla/jtsera/v34y2013i1p30-39.html
   My bibliography  Save this article

Optimal convergence rates in non-parametric regression with fractional time series errors

Author

Listed:
  • Yuanhua Feng
  • Jan Beran
Abstract
No abstract is available for this item.

Suggested Citation

  • Yuanhua Feng & Jan Beran, 2013. "Optimal convergence rates in non-parametric regression with fractional time series errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(1), pages 30-39, January.
    • Handle: RePEc:bla:jtsera:v:34:y:2013:i:1:p:30-39
    DOI: j.1467-9892.2012.00811.x
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1111/j.1467-9892.2012.00811.x
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/j.1467-9892.2012.00811.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    References listed on IDEAS

    as
    1. Beran, Jan, 1999. "SEMIFAR Models - A Semiparametric Framework for Modelling Trends, Long Range Dependence and Nonstationarity," CoFE Discussion Papers 99/16, University of Konstanz, Center of Finance and Econometrics (CoFE).
    2. Hall, Peter & Hart, Jeffrey D., 1990. "Nonparametric regression with long-range dependence," Stochastic Processes and their Applications, Elsevier, vol. 36(2), pages 339-351, December.
    3. Karuppiah, Jeyanthi & Los, Cornelis A., 2005. "Wavelet multiresolution analysis of high-frequency Asian FX rates, Summer 1997," International Review of Financial Analysis, Elsevier, vol. 14(2), pages 211-246.
    4. Feng, Yuanhua & Beran, Jan & Yu, Keming, 2006. "Modelling financial time series with SEMIFAR-GARCH model," MPRA Paper 1593, University Library of Munich, Germany.
    5. HÄRDLE, Wolfgang & HALL, Peter & MARRON, Steve, 1992. "Regression smoothing parameters that are not far from their optimum," LIDAM Reprints CORE 978, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    6. Jan Beran & Yuanhua Feng, 2002. "Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent Errors," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 54(2), pages 291-311, June.
    7. Härdle, Wolfgang Karl & Mungo, Julius, 2007. "Long memory persistence in the factor of Implied volatility dynamics," SFB 649 Discussion Papers 2007-027, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    8. Robinson, P. M., 2005. "Robust covariance matrix estimation : 'HAC' estimates with long memory/antipersistence correction," LSE Research Online Documents on Economics 323, London School of Economics and Political Science, LSE Library.
    9. C. W. J. Granger & Roselyne Joyeux, 1980. "An Introduction To Long‐Memory Time Series Models And Fractional Differencing," Journal of Time Series Analysis, Wiley Blackwell, vol. 1(1), pages 15-29, January.
    10. Robinson, P.M., 2005. "Robust Covariance Matrix Estimation: Hac Estimates With Long Memory/Antipersistence Correction," Econometric Theory, Cambridge University Press, vol. 21(1), pages 171-180, February.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Feng, Yuanhua & Zhou, Chen, 2015. "Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD," International Journal of Forecasting, Elsevier, vol. 31(2), pages 349-363.
    2. Yuanhua Feng & Thomas Gries, 2017. "Data-driven local polynomial for the trend and its derivatives in economic time series," Working Papers CIE 102, Paderborn University, CIE Center for International Economics.
    3. Sebastian Letmathe & Yuanhua Feng, 2022. "An iterative plug-in algorithm for P-Spline regression," Working Papers CIE 151, Paderborn University, CIE Center for International Economics.
    4. Kris Brabanter & Farzad Sabzikar, 2021. "Asymptotic theory for regression models with fractional local to unity root errors," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 84(7), pages 997-1024, October.
    5. Beran, Jan & Feng, Yuanhua, 2002. "Recent Developments in Non- and Semiparametric Regression with Fractional Time Series Errors," CoFE Discussion Papers 02/13, University of Konstanz, Center of Finance and Econometrics (CoFE).

    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.
    1. Beran, Jan & Feng, Yuanhua, 2002. "Recent Developments in Non- and Semiparametric Regression with Fractional Time Series Errors," CoFE Discussion Papers 02/13, University of Konstanz, Center of Finance and Econometrics (CoFE).
    2. 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.
    3. Feng, Yuanhua, 2003. "Kernel Dependent Functions in Nonparametric Regression with Fractional Time Series Errors," CoFE Discussion Papers 03/02, University of Konstanz, Center of Finance and Econometrics (CoFE).
    4. Boubaker, Heni & Sghaier, Nadia, 2015. "Semiparametric generalized long-memory modeling of some mena stock market returns: A wavelet approach," Economic Modelling, Elsevier, vol. 50(C), pages 254-265.
    5. Beran, Jan & Feng, Yuanhua, 2000. "Data-driven estimation of semiparametric fractional autoregressive models," CoFE Discussion Papers 00/16, University of Konstanz, Center of Finance and Econometrics (CoFE).
    6. Mohamed CHIKHI & Claude DIEBOLT & Tapas MISHRA, 2019. "Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model," Working Papers 07-19, Association Française de Cliométrie (AFC).
    7. Beran, Jan & Feng, Yuanhua, 2001. "Iterative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties," CoFE Discussion Papers 01/11, University of Konstanz, Center of Finance and Econometrics (CoFE).
    8. Beran, Jan & Feng, Yuanhua & Ghosh, Sucharita & Sibbertsen, Philipp, 2002. "On robust local polynomial estimation with long-memory errors," International Journal of Forecasting, Elsevier, vol. 18(2), pages 227-241.
    9. Fu, Hui & Chen, Wenting & He, Xin-Jiang, 2018. "On a class of estimation and test for long memory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 906-920.
    10. Beran, Jan & Ocker, Dirk, 1999. "SEMIFAR Forecasts, with Applications to Foreign Exchange Rates," CoFE Discussion Papers 99/13, University of Konstanz, Center of Finance and Econometrics (CoFE).
    11. Robinson, P.M., 2011. "Asymptotic theory for nonparametric regression with spatial data," Journal of Econometrics, Elsevier, vol. 165(1), pages 5-19.
    12. Wingert, Simon & Mboya, Mwasi Paza & Sibbertsen, Philipp, 2020. "Distinguishing between breaks in the mean and breaks in persistence under long memory," Economics Letters, Elsevier, vol. 193(C).
    13. Beran, Jan & Feng, Yuanhua & Franke, Günter & Hess, Dieter & Ocker, Dirk, 1999. "SEMIFAR Models, with Applications to Commodities, Exchange Rates and the Volatility of Stock Market Indices," CoFE Discussion Papers 99/18, University of Konstanz, Center of Finance and Econometrics (CoFE).
    14. Beran, Jan & Feng, Yuanhua, 1999. "Local Polynomial Estimation with a FARIMA-GARCH Error Process," CoFE Discussion Papers 99/08, University of Konstanz, Center of Finance and Econometrics (CoFE).
    15. Kyaw, NyoNyo A. & Los, Cornelis A. & Zong, Sijing, 2006. "Persistence characteristics of Latin American financial markets," Journal of Multinational Financial Management, Elsevier, vol. 16(3), pages 269-290, July.
    16. Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2018. "A simple test on structural change in long-memory time series," Economics Letters, Elsevier, vol. 163(C), pages 90-94.
    17. Kai Wenger & Christian Leschinski & Philipp Sibbertsen, 2019. "Change-in-mean tests in long-memory time series: a review of recent developments," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 103(2), pages 237-256, June.
    18. Manabu Asai & Michael McAleer, 2017. "A fractionally integrated Wishart stochastic volatility model," Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 42-59, March.
    19. Mohamed CHIKHI & Ali BENDOB & Ahmed Ramzi SIAGH, 2019. "Day-of-the-week and month-of-the-year effects on French Small-Cap Volatility: the role of asymmetry and long memory," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 10, pages 221-248, December.
    20. Chaker Aloui & Duc Khuong Nguyen, 2014. "On the detection of extreme movements and persistent behaviour in Mediterranean stock markets: a wavelet-based approach," Applied Economics, Taylor & Francis Journals, vol. 46(22), pages 2611-2622, August.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    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:bla:jtsera:v:34:y:2013:i:1:p:30-39. 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: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.