Forecasting financial time series with generalized long memory processes

Laurent Ferrara and Dominique Guegan ()
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Dominique Guegan: CREST - Centre de Recherche en Économie et Statistique - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique

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Keywords: Forecasting; financial series; generalized long memory processes (search for similar items in EconPapers)
Date: 2000
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Published in Christian Dunis. Advances in Quantitative Asset Management, Kluver Academic Press, chapter 14, 2000, Studies in computational finance

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00199126

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