1. (100%) Estimação do parâmetro "d " em modelos arfima - Trevisan,Elma Suema; Souza,Reinaldo Castro; Souza,Leonardo Rocha
Os modelos ARFIMA caracterizam-se por sua longa dependência e por possuírem o parâmetro d do modelo ..., foram realizadas simulações em quatro diferentes estruturas ARFIMA, a saber : (0,d,0), (1,d,0
(text/html) - 23-may-2005

2. (100%) State space modeling of long-memory processes - Chan, Ngai Hang; Palma, Wilfredo
This paper develops a state space modeling for long-range dependent data. Although a long-range depe ...
(application/pdf) - 19-sep-2008

3. (100%) Memory in Returns and Volatilities of Commodity Futures' Contracts - Nuno Crato; Bonnie Ray
: Various authors claim to have found evidence of stochastic long memory behavior in futures' c ...
(application/postscript) - 30-jul-2009

4. (100%) Memory in Returns and Volatilities of Commodity Futures Contracts - Nuno Crato; Bonnie Raz
Various authors claim to have found evidence of stochastic long memory behavior in futures contract ...
(application/pdf) - 31-jul-2009

5. (62%) Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation - Doornik, Jurgen A; Ooms, Marius
Practical aspects of likelihood-based inference and forecasting of series with long memory are considered, based on the arfima(p; d; q) model with deterministic regressors. Sampling characteristics
(application/pdf) - 30-ago-2006

6. (62%) Journal of Statistical Planning and
www.elsevier.com/locate/jspi Bayesian wavelet analysis of autoregressive fractionally integrated mov ...
(application/pdf) - 16-jul-2009

7. (62%) Estimation Of Fractional Arima Models For The UK Unemployment - Luis A. Gil-Alana
ARFIMA model, with the order of integration fluctuating between 1 and 2. Thus, the standard approach of ... differenced series showing a strong component of long memory behaviour. Keywords: ARFIMA models, long
(application/pdf) - 29-jul-2009

8. (62%) INFLUENCIA DEL INTERVALO DE OBSERVACIÓN EN LA ESTIMACIÓN DE LA MEMORIA PROLONGADA - LEONARDO ROCHA SOUZA
Esta tese de doutorado relaciona a estimação da diferenciação fracionária, como medida de memória lo ...
- 18-oct-2009

9. (50%) Multivariate Long-Memory ARCH Modelling for High Frequency Foreign Exchange Rates. - Gilles Teyssière; Jel Classi Cation C
ARFIMA regression function with an unrestricted trivariate FIGARCH skedastic function. Estimation results
(application/postscript) - 23-jul-2009

10. (38%) A Package for Estimating, Forecasting and Simulating Arfima Models: Arfima package 1.0 for Ox - Models Arfima,Ox Jurgen,A. Doornik,Marius Ooms
This documentation describes the Arfima package version 1.0 for Ox 2.10 or later, see Doornik (1998). The
(pdf) - 31-mar-2009

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