SEMIFAR forecasts, with applications to foreign exchange rates


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

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

<rdf:RDF xmlns:dcterms="" xmlns:dc="" xmlns:rdf="" xmlns:bibo="" xmlns:dspace="" xmlns:foaf="" xmlns:void="" xmlns:xsd="" > <rdf:Description rdf:about=""> <dc:language>eng</dc:language> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> <dc:creator>Ocker, Dirk</dc:creator> <dcterms:available rdf:datatype="">2011-03-22T17:45:27Z</dcterms:available> <dc:date rdf:datatype="">2011-03-22T17:45:27Z</dc:date> <dcterms:rights rdf:resource=""/> <dcterms:hasPart rdf:resource=""/> <dc:rights>terms-of-use</dc:rights> <dc:contributor>Ocker, Dirk</dc:contributor> <bibo:uri rdf:resource=""/> <dc:creator>Beran, Jan</dc:creator> <foaf:homepage rdf:resource="http://localhost:8080/jspui"/> <dcterms:isPartOf rdf:resource=""/> <dcterms:abstract xml:lang="eng">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.</dcterms:abstract> <dspace:isPartOfCollection rdf:resource=""/> <dc:format>application/pdf</dc:format> <dcterms:issued>1999</dcterms:issued> <dcterms:title>SEMIFAR forecasts, with applications to foreign exchange rates</dcterms:title> <dc:contributor>Beran, Jan</dc:contributor> <dspace:hasBitstream rdf:resource=""/> </rdf:Description> </rdf:RDF>

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