Nothing Special   »   [go: up one dir, main page]
create a website
Business surveys modelling with Seasonal-Cyclical Long Memory models.. (2008). GUEGAN, Dominique ; Ferrara, Laurent.
In: Working papers.
RePEc:bfr:banfra:224.

Full description at Econpapers || Download paper

Cited: 2

Citations received by this document

Cites: 29

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Leverage, skewness and amplitude asymmetric cycles. (2012). Artiach, Miguel.
    In: MPRA Paper.
    RePEc:pra:mprapa:41267.

    Full description at Econpapers || Download paper

  2. Doubly fractional models for dynamic heteroscedastic cycles. (2012). Arteche, Josu ; Artiach, Miguel.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:56:y:2012:i:6:p:2139-2158.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Angelini, E., Camba-Mendez, G. Giannone D., Reichlin, L. and Ruenstler, G., Shortterm forecasts of euro area GDP growth, Discussion Paper Series No. 6746, CEPR.

  2. Arteche J. (2003), Semi-parametric robust tests on seasonal or cyclical long memory time series, Journal of Time Series Analysis, 23, 251 - 285.

  3. Arteche J., Robinson P.M. (2000), Semiparametric inference in seasonal and cyclical long memory processes, Journal of Time Series Analysis, 21, 1 - 25.

  4. Baillie, R. (1996), Long memory processes and fractional integration in econometrics, Journal of Econometrics, 73, 5 - 59.

  5. Chan, N.H., and W. Palma (2005), Efficient estimation of seasonal long range dependent processes, Journal of Time Series Analysis, 26, 863 - 892.

  6. Ferrara, L. (2007), Point and interval nowcasts of the Euro area IPI, Applied Economics Letters, Vol. 14, No. 2, pp. 115-120.

  7. Ferrara, L. and D. Guegan (2000), Forecasting financial time series with generalized long memory processes, in Advances in Quantitative Asset Management, pp. 319-342, C.L. Dunis ed., Kluwer Academic Publishers.

  8. Ferrara, L. and D. Guegan (2001b), Comparison of parameter estimation methods in cyclical long memory time series, in Developments in Forecast Combination and Portfolio Choice, Chapter 8, C. Dunis, J. Moody and A. Timmermann (eds.), Wiley, New York.
    Paper not yet in RePEc: Add citation now

  9. Ferrara, L. and Guegan, D. (2001a), Forecasting with k-factor Gegenbauer processes: Theory and applications, Journal of Forecasting, 20, 581-601.

  10. Ferrara, L. and Guegan, D. (2006), Fractional seasonality: Models and applications to economic activity in the Euro area, Eurostat Working Paper, presented at the Conference for Seas onality, Seasonal Adjustement and their implications for ShortTerm Analysis and Forecasting, organized by Eurostat, Luxembourg, May 2006.

  11. Ferrara, L., Guegan, D. and Z. Lu (2008), Testing fractional order of long memory processes: A Monte-Carlo study, CES Working Paper No. 2008.12, University Paris 1 - Pantheon - Sorbonne.

  12. Franses, P.H., and Ooms M. (1997), A periodic long memory model for quartely UK inflation, International Journal of Forecasting, 13, 117 - 126.

  13. Geweke, J. and Porter-Hudak, 5. (1983), The estimation and application of longmemory time series models, Journal of Time Series Analysis, 4, 221-238.
    Paper not yet in RePEc: Add citation now
  14. Gil-Alana L.A. (2001), Testing stochastic cycles in macro-economic time series, Journal of Time Series Analysis, 22, 411 - 430.
    Paper not yet in RePEc: Add citation now

  15. Gil-Alana L.A. (2006), Testing seasonality in the context of fractionally integrated processes, Annales dEconornie et de Statistique, 81,69- 91

  16. Giraitis, L., Leipus R. (1995), A generalized fractionally differencing approach in long memory modelling, Lithuanian Mathematical Journal, 35, 65 - 81.
    Paper not yet in RePEc: Add citation now

  17. Granger C.W.J. and R. Joyeux (1980), An introduction to long memory time series models and fractional differencing, Journal of Time Series Analysis, 1, 15 - 29.

  18. Gray, H.L., Zhang, N.-F. and Woodward, W.A. (1989), On generalized fractional processes, Journal of Time Series Analysis, 10, 233-257.

  19. Guégan, D. (2000), A new model: the k-factor GIGARCH process, Journal of Signal Processing, 4, 265-271.
    Paper not yet in RePEc: Add citation now

  20. Guégan, D. (2003), A prospective study of the k-factor Gegenbauer process with heteroscedastic errors and an application to inflation rates, Finance India, 17, 1 - 21.

  21. Hassler, U. (1994), Misspecification of long memory seasonal time series, Journal of Time Series Analysis, 15, 19 - 30.

  22. Hosking J.R.M., (1981), Fractional differencing, Biometrika, 68, 1, 165-176.
    Paper not yet in RePEc: Add citation now
  23. Hosoya, Y. (1997), A limit theory of long-range dependence and statistical inference in related model, Annals of Statistics, 25, 105-137.
    Paper not yet in RePEc: Add citation now

  24. Olhede S.C., McCoy E.J., Stephens D.A. (2004), Large-sample properties of the periodogram estimator of seasonally persistent processes, Biometrika, 91, 613 - 628.

  25. Ray B.K. (1993), Long-range forecasting of IBM product revenues using a seasonal fractionally differenced ARMA model, International Journal of Forecasting, 9, 255 - 269.

  26. Reisen, V., Rodrigues, A. and Palma, W. (2006), Estimating Seasonal Long Memory Processes. A Monte Carlo Study, Journal of Statistical Computation and Simulation, 76, 4, 280-316.
    Paper not yet in RePEc: Add citation now
  27. Robinson P.M. (1994), Efficient tests of non-stationary hypotheses, Journal of the American Statistical Association, 89, 1420-1457.
    Paper not yet in RePEc: Add citation now
  28. Whittle, P. (1951), Hypothesis testing in time series analysis, Hafner, New-York.
    Paper not yet in RePEc: Add citation now
  29. Woodward, W.A., Cheng Q.C. and Gray H.L. (1998), A k-factor GARMA longmemory model, Journal of Time Series Analysis, 19, 5, 485-504.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Nowcasting GDP of Bosnia and Herzegovina: A Comparison of Forecast Accuracy Models. (2020). Adnan, Rovanin ; Adem, Abdi ; Emina, Resi ; Ademir, Abdi.
    In: South East European Journal of Economics and Business.
    RePEc:vrs:seejeb:v:15:y:2020:i:2:p:1-14:n:1.

    Full description at Econpapers || Download paper

  2. ??????? ??????????????? ? ???????????? ????? ??????????: ??????? ?? ?????? ??????? // Forecasting system at the National Bank of Kazakhstan: survey-based nowcasting. (2017). Musil, Karel ; Мекенбаева Камила // Mekenbayeva Kamila, .
    In: Working Papers.
    RePEc:aob:wpaper:15.

    Full description at Econpapers || Download paper

  3. Comprehensive measurement of energy market integration in East Asia: An application of dynamic principal component analysis. (2015). Sheng, Yu ; Shi, Xunpeng ; Zhang, Dandan.
    In: Energy Economics.
    RePEc:eee:eneeco:v:52:y:2015:i:pb:p:299-305.

    Full description at Econpapers || Download paper

  4. Zero lower bound, ECB interest rate policy and the financial crisis. (2014). Lewis, John ; Gerlach, Stefan.
    In: Empirical Economics.
    RePEc:spr:empeco:v:46:y:2014:i:3:p:865-886.

    Full description at Econpapers || Download paper

  5. Central bank macroeconomic forecasting during the global financial crisis: the European Central Bank and Federal Reserve Bank of New York experiences. (2014). Potter, Simon ; Peach, Richard ; onorante, luca ; Ghysels, Eric ; Alessi, Luci .
    In: Staff Reports.
    RePEc:fip:fednsr:680.

    Full description at Econpapers || Download paper

  6. Enhanced Measurement of Energy Market Integration in East Asia: An Application of Dynamic Principal Component Analysis. (2014). Sheng, Yu ; Shi, Xunpeng ; Zhang, Dandan.
    In: Working Papers.
    RePEc:era:wpaper:dp-2014-23.

    Full description at Econpapers || Download paper

  7. Forecasting macroeconomic variables using collapsed dynamic factor analysis. (2014). Koopman, Siem Jan ; Bräuning, Falk ; Brauning, Falk.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:30:y:2014:i:3:p:572-584.

    Full description at Econpapers || Download paper

  8. Short-term forecasting of GDP with a DSGE model augmented by monthly indicators. (2014). Schneider, Martin ; Cervena, Marianna.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:30:y:2014:i:3:p:498-516.

    Full description at Econpapers || Download paper

  9. Robust Implementation of a Parsimonious Dynamic Factor Model to Nowcast GDP. (2014). Süssmuth, Bernd ; Duarte, Pablo ; Sussmuth, Bernd.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_4574.

    Full description at Econpapers || Download paper

  10. Un indicador de la evolución del PIB uruguayo en tiempo real. (2014). Rodriguez, Helena .
    In: Documentos de trabajo.
    RePEc:bku:doctra:2014009.

    Full description at Econpapers || Download paper

  11. A survey of econometric methods for mixed-frequency data. (2013). Marcellino, Massimiliano ; Foroni, Claudia.
    In: Economics Working Papers.
    RePEc:eui:euiwps:eco2013/02.

    Full description at Econpapers || Download paper

  12. Direct vs bottom–up approach when forecasting GDP: Reconciling literature results with institutional practice. (2013). Esteves, Paulo.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:33:y:2013:i:c:p:416-420.

    Full description at Econpapers || Download paper

  13. A survey of econometric methods for mixed-frequency data. (2013). Marcellino, Massimiliano ; Foroni, Claudia.
    In: Working Paper.
    RePEc:bno:worpap:2013_06.

    Full description at Econpapers || Download paper

  14. Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility. (2013). Venditti, Fabrizio ; Marcellino, Massimiliano ; Porqueddu, Mario .
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_896_13.

    Full description at Econpapers || Download paper

  15. A factor analysis for the Spanish economy. (2012). Cuevas, Angel ; Quilis, Enrique .
    In: SERIEs: Journal of the Spanish Economic Association.
    RePEc:spr:series:v:3:y:2012:i:3:p:311-338.

    Full description at Econpapers || Download paper

  16. Finite sample performance of small versus large scale dynamic factor models. (2012). Perez Quiros, Gabriel ; Camacho, Maximo ; Perez-Quiros, Gabriel ; Alvarez, Rocio .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8867.

    Full description at Econpapers || Download paper

  17. Forecasting economic activity with higher frequency targeted predictors. (2012). Venditti, Fabrizio ; Marcellino, Massimiliano ; Bulligan, Guido.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_847_12.

    Full description at Econpapers || Download paper

  18. A Factor Model for Euro-area Short-term Inflation Analysis. (2011). Lenza, Michele ; Warmedinger, Thomas .
    In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
    RePEc:jns:jbstat:v:231:y:2011:i:1:p:50-62.

    Full description at Econpapers || Download paper

  19. A two-step estimator for large approximate dynamic factor models based on Kalman filtering. (2011). Doz, Catherine ; Reichlin, Lucrezia.
    In: Post-Print.
    RePEc:hal:journl:peer-00844811.

    Full description at Econpapers || Download paper

  20. A two-step estimator for large approximate dynamic factor models based on Kalman filtering. (2011). Reichlin, Lucrezia ; Doz, Catherine.
    In: Post-Print.
    RePEc:hal:journl:hal-00844811.

    Full description at Econpapers || Download paper

  21. A look into the factor model black box: Publication lags and the role of hard and soft data in forecasting GDP. (2011). Rünstler, Gerhard ; Banbura, Marta ; Runstler, Gerhard.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:27:y::i:2:p:333-346.

    Full description at Econpapers || Download paper

  22. A look into the factor model black box: Publication lags and the role of hard and soft data in forecasting GDP. (2011). Rünstler, Gerhard ; Banbura, Marta ; Runstler, Gerhard ; Babura, Marta.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:27:y:2011:i:2:p:333-346.

    Full description at Econpapers || Download paper

  23. A two-step estimator for large approximate dynamic factor models based on Kalman filtering. (2011). Reichlin, Lucrezia ; Giannone, Domenico ; Doz, Catherine.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:164:y:2011:i:1:p:188-205.

    Full description at Econpapers || Download paper

  24. Forecasting monthly industrial production in real-time: from single equations to factor-based models. (2010). Parigi, giuseppe ; Golinelli, Roberto ; Bulligan, Guido.
    In: Empirical Economics.
    RePEc:spr:empeco:v:39:y:2010:i:2:p:303-336.

    Full description at Econpapers || Download paper

  25. Étalonnages du taux de croissance du PIB français sur la base des enquêtes de conjoncture. (2010). Bessec, Marie.
    In: Économie et Prévision.
    RePEc:prs:ecoprv:ecop_0249-4744_2010_num_193_2_8036.

    Full description at Econpapers || Download paper

  26. Predictions vs preliminary sample estimates. (2010). D'Elia, Enrico.
    In: MPRA Paper.
    RePEc:pra:mprapa:36070.

    Full description at Econpapers || Download paper

  27. Real-time nowcasting of GDP: Factor model versus professional forecasters. (2010). Liebermann, Joëlle.
    In: MPRA Paper.
    RePEc:pra:mprapa:28819.

    Full description at Econpapers || Download paper

  28. Working Paper 163. (2010). Cerven, Marianna ; Schneider, Martin.
    In: Working Papers.
    RePEc:onb:oenbwp:y::i:163:b:1.

    Full description at Econpapers || Download paper

  29. Short-term forecasting GDP with a DSGE model augmented by monthly indicators. (2010). Schneider, Martin ; Cervena, Marianna.
    In: Working Papers.
    RePEc:onb:oenbwp:163.

    Full description at Econpapers || Download paper

  30. Forecasting Macroeconomic Aggregates. (2010). Mayr, Johannes.
    In: Munich Dissertations in Economics.
    RePEc:lmu:dissen:11140.

    Full description at Econpapers || Download paper

  31. GDP nowcasting with ragged-edge data: a semi-parametric modeling. (2010). GUEGAN, Dominique ; Ferrara, Laurent ; Rakotomarolahy, Patrick .
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:29:y:2010:i:1-2:p:186-199.

    Full description at Econpapers || Download paper

  32. Are disaggregate data useful for factor analysis in forecasting French GDP?. (2010). Barhoumi, Karim ; Ferrara, Laurent ; Darné, Olivier.
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:29:y:2010:i:1-2:p:132-144.

    Full description at Econpapers || Download paper

  33. Introducing the euro-sting: Short-term indicator of euro area growth. (2010). Perez Quiros, Gabriel ; Camacho, Maximo ; Perez-Quiros, Gabriel.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:25:y:2010:i:4:p:663-694.

    Full description at Econpapers || Download paper

  34. GDP nowcasting with ragged-edge data: a semi-parametric modeling. (2010). Ferrara, Laurent ; Rakotomarolahy, Patrick ; Guegan, Dominique.
    In: PSE-Ecole d'économie de Paris (Postprint).
    RePEc:hal:pseptp:halshs-00460461.

    Full description at Econpapers || Download paper

  35. GDP nowcasting with ragged-edge data: a semi-parametric modeling. (2010). Guegan, Dominique ; Rakotomarolahy, Patrick ; Ferrara, Laurent.
    In: Post-Print.
    RePEc:hal:journl:halshs-00460461.

    Full description at Econpapers || Download paper

  36. Nowcasting. (2010). Reichlin, Lucrezia ; Giannone, Domenico ; Banbura, Marta.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7883.

    Full description at Econpapers || Download paper

  37. Short-term forecasting of GDP using large datasets: a pseudo real-time forecast evaluation exercise. (2009). Rua, António ; Rünstler, Gerhard ; Barhoumi, Karim ; Jakaitiene, Audrone ; Reijer, Ard ; Cristadoro, Riccardo ; Benk, Szilard ; Den Reijer, A. ; Jelonek, P. ; Ruth, K. ; Runstler, G. ; Van Nieuwenhuyze, C..
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:28:y:2009:i:7:p:595-611.

    Full description at Econpapers || Download paper

  38. GDP nowcasting with ragged-edge data : A semi-parametric modelling. (2009). Guegan, Dominique ; Rakotomarolahy, Patrick ; Ferrara, Laurent.
    In: Post-Print.
    RePEc:hal:journl:halshs-00344839.

    Full description at Econpapers || Download paper

  39. GDP nowcasting with ragged-edge data : A semi-parametric modelling. (2009). GUEGAN, Dominique ; Ferrara, Laurent ; Rakotomarolahy, Patrick .
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:halshs-00344839.

    Full description at Econpapers || Download paper

  40. Nowcasting Euro Area Economic Activity in Real-Time: The Role of Confidence Indicator. (2009). Simonelli, Saverio ; Reichlin, Lucrezia ; Giannone, Domenico.
    In: Working Papers ECARES.
    RePEc:eca:wpaper:2009_021.

    Full description at Econpapers || Download paper

  41. Introducing the Euro-STING: Short-Term Indicator of Euro Area Growth. (2009). Perez Quiros, Gabriel ; Camacho, Maximo ; Perez-Quiros, Gabriel.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7343.

    Full description at Econpapers || Download paper

  42. IFOCAST: Methoden der ifo-Kurzfristprognose. (2009). Wohlrabe, Klaus ; Mayr, Johannes ; Henzel, Steffen ; Carstensen, Kai.
    In: ifo Schnelldienst.
    RePEc:ces:ifosdt:v:62:y:2009:i:23:p:15-28.

    Full description at Econpapers || Download paper

  43. Forecasting Euro-area recessions using time-varying binary response models for financial.. (2009). Ferrara, Laurent ; Bellego, C..
    In: Working papers.
    RePEc:bfr:banfra:259.

    Full description at Econpapers || Download paper

  44. Short-term forecasting of GDP using large monthly datasets – A pseudo real-time forecast evaluation exercise. (2008). Rua, António ; Rünstler, Gerhard ; Reijer, Ard ; Cristadoro, Riccardo ; Den Reijer, A. ; Jelonek, P. ; Ruth, K. ; Runstler, G. ; Van Nieuwenhuyze, C..
    In: Working Paper Research.
    RePEc:nbb:reswpp:200806-17.

    Full description at Econpapers || Download paper

  45. A non-parametric method to nowcast the Euro Area IPI. (2008). Ferrara, Laurent ; Raffinot, Thomas .
    In: Post-Print.
    RePEc:hal:journl:halshs-00275769.

    Full description at Econpapers || Download paper

  46. Estimating and forecasting the euro area monthly national accounts from a dynamic factor model. (2008). Rünstler, Gerhard ; Banbura, Marta ; Angelini, Elena ; Babura, Marta ; Runstler, Gerhard.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2008953.

    Full description at Econpapers || Download paper

  47. Business surveys modelling with Seasonal-Cyclical Long Memory models.. (2008). GUEGAN, Dominique ; Ferrara, Laurent.
    In: Working papers.
    RePEc:bfr:banfra:224.

    Full description at Econpapers || Download paper

  48. Monthly forecasting of French GDP: A revised version of the OPTIM model.. (2008). PLUYAUD, Bertrand ; Barhoumi, Karim ; Ferrara, Laurent ; Darné, Olivier ; Brunhes-Lesage, V. ; ROUVREAU, B..
    In: Working papers.
    RePEc:bfr:banfra:222.

    Full description at Econpapers || Download paper

  49. Short-term forecasting of GDP using large monthly datasets: a pseudo real-time forecast evaluation exercise.. (2008). Rua, António ; Rünstler, Gerhard ; Barhoumi, Karim ; Jakaitiene, Audrone ; Reijer, Ard ; Cristadoro, Riccardo ; Benk, Szilard ; Den Reijer, A. ; Jelonek, P. ; Ruth, K. ; Runstler, G. ; Van Nieuwenhuyze, C..
    In: Working papers.
    RePEc:bfr:banfra:215.

    Full description at Econpapers || Download paper

  50. Enhanced Measurement of Energy Market Integration in East Asia: An Application of Dynamic Principal Component Analysis. (). Kimura, Fukunari ; Phoumin, Han .
    In: Chapters.
    RePEc:era:chaptr:2013-rpr-29-10.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-05 17:20:16 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.