SEMIFAR forecasts, with applications to foreign exchange rates

Beran, Jan; Ocker, Dirk

SEMIFAR forecasts, with applications to foreign exchange rates

Dateien

412_1.pdfGröße: 276.76 KBDownloads: 261

Datum

1999

Autor:innen

Beran, Jan

Ocker, Dirk

Open Access-Veröffentlichung

Open Access Green

Sammlungen

Mathematik und Statistik

Publikationstyp

Working Paper/Technical Report

Publikationsstatus

Published

Zusammenfassung

SEMIFAR Models introduced in Beran (1999) provide a semiparametric modelling framework that enables the data analyst to separate deterministic and stochastic trends as well as short- and long-memory components in an observed time series. A correct distinction between these components, and in particular, the decision which of the components may be present in the data have an important impact on forecasts. In this paper, forecasts are based on an extrapolation of the nonparametric trend function and optimal forecasts of the stochastic component. In the data analytical part of the paper, the proposed method is applied to foreign exchange rates from Europe and Asia.

Fachgebiet (DDC)

510 Mathematik

Schlagwörter

trend, differencing, long-range dependence, difference stationarity, fractional ARIMA, Box-Jenkins ARIMA, BIC, kernel estimation, bandwidth

Zitieren

ISO 690

BERAN, Jan, Dirk OCKER, 1999. SEMIFAR forecasts, with applications to foreign exchange rates

BibTex

@techreport{Beran1999SEMIF-671,
  year={1999},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={SEMIFAR forecasts, with applications to foreign exchange rates},
  number={1999/13},
  author={Beran, Jan and Ocker, Dirk}
}

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