On EFARIMA and ESEMIFAR Models

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BERAN, Jan, Yuanhua FENG, Sucharita GHOSH, 2015. On EFARIMA and ESEMIFAR Models. In: BERAN, Jan, ed. and others. Empirical Economic and Financial Research : Theory, Methods and Practice. Cham [u.a.]:Springer, pp. 239-253. ISBN 978-3-319-03121-7

@incollection{Beran2015EFARI-32551, title={On EFARIMA and ESEMIFAR Models}, year={2015}, doi={10.1007/978-3-319-03122-4_15}, number={48}, isbn={978-3-319-03121-7}, address={Cham [u.a.]}, publisher={Springer}, series={Advanced Studies in Theoretical and Applied Econometrics}, booktitle={Empirical Economic and Financial Research : Theory, Methods and Practice}, pages={239--253}, editor={Beran, Jan}, author={Beran, Jan and Feng, Yuanhua and Ghosh, Sucharita} }

<rdf:RDF xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:dcterms="http://purl.org/dc/terms/" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/rdf/resource/123456789/32551"> <dcterms:issued>2015</dcterms:issued> <dcterms:abstract xml:lang="eng">An exponential FARIMA (EFARIMA) and an exponential SEMIFAR (ESEMIFAR) model for modelling long memory in duration series are introduced. The EFARIMA model avoids using unobservable latent processes and can be thought of as an exponential long-memory ACD model. The semiparametric extension, ESEMIFAR, includes a nonparametric scale function for modelling slow changes of the unconditional mean duration. Estimation and model selection can be carried out with standard software. The approach is illustrated by applications to average daily transaction durations and a series of weekly means of daily sunshine durations.</dcterms:abstract> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2016-01-13T13:41:55Z</dc:date> <dc:creator>Feng, Yuanhua</dc:creator> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2016-01-13T13:41:55Z</dcterms:available> <bibo:uri rdf:resource="https://kops.uni-konstanz.de/handle/123456789/32551"/> <dc:contributor>Ghosh, Sucharita</dc:contributor> <dcterms:title>On EFARIMA and ESEMIFAR Models</dcterms:title> <dc:contributor>Feng, Yuanhua</dc:contributor> <dc:language>eng</dc:language> <dc:creator>Beran, Jan</dc:creator> <dc:creator>Ghosh, Sucharita</dc:creator> <dc:contributor>Beran, Jan</dc:contributor> </rdf:Description> </rdf:RDF>

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