Long memory time series and short term forecasts

By K. Man. 2003

55 citations recorded by the source corpus.

How researchers see this paper

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Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching (2007, background): “Mandelbrot (1997) Large Deviations and the Distribution of Price Changes.”
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility (2003, unknown): “…approximating and forecasting long-memory type behavior in the conditional mean in Basak, Chan and Palma (2001), Cox (1991), Hsu and Breidt (2003), Man (2003), O’Connell (1971) and Tiao and Tsay (1994), among others, along with the discussion of the related component GARCH model in Engle and Lee…”
25 years of time series forecasting (2006, background): “Recently, Engle & Manganelli (2004) made a start in this direction, proposing a conditional value at risk model.”
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007, methodology): “20 This same transformation has subsequently been used for other markets by Deo, Hurvich, and Lu (2006), Koopman, Jungbacker, and Hol (2005), and Martens, van Dijk, and de Pooter (2004) among others.”
25 Years of IIF Time Series Forecasting: A Selective Review (2005, background): “Recently, Engle & Manganelli (2004) made a start in this direction, proposing a conditional value at risk model.”