Search Results

ARFIMA-FIGARCH, HYGARCH and FIAPARCH Models of Exchange Rates,
Slaveya Zhelyazkova, in Izvestia Journal of the Union of Scientists - Varna. Economic Sciences Series (2018)
Keywords: ARFIMA, FIGARCH, HYGARCH, long memory, exchange rates

Empirical study of ARFIMA model based on fractional differencing,
Jin Xiu and Yao Jin, in Physica A: Statistical Mechanics and its Applications (2007)
Keywords: Long-term memory; ARFIMA; Fractional differencing;

Parametric estimation for ARFIMA models via spectral methods,
Mauro Coli, Lara Fontanella and Mariagrazia Granturco, in Statistical Methods & Applications (2005)
Keywords: ARFIMA processes, Karhunen Loève decomposition, Whittle MLE

The exact maximum likelihood estimation of ARFIMA processes and model selection criteria: A Monte Carlo study,
Valérie Mignon and Sandrine Lardic, in Economics Bulletin (2004)
Keywords: ARFIMA processes

Modeling the Realized Volatility with ARFIMA and Unobserved Component Models: Results from the Polish Financial Market,
Małgorzata Doman, from University of Lodz (2006)
Keywords: Stochastic Volatility Processes; Autoregressive fractionally integrated moving average model (ARFIMA); Econometrics; Financial markets

Predicting BRICS Stock Returns Using ARFIMA Models,
Goodness Aye, Mehmet Balcilar, Rangan Gupta, Nicholas Kilimani, Amandine Nakumuryango and Siobhan Redford, from University of Pretoria, Department of Economics (2012)
Keywords: Fractional integration, long-memory, stock returns, long-horizon prediction, ARFIMA, BRICS

Detection of DoS Attacks Using ARFIMA Modeling of GOOSE Communication in IEC 61850 Substations,
Ghada Elbez, Hubert B. Keller, Atul Bohara, Klara Nahrstedt and Veit Hagenmeyer, in Energies (2020)
Keywords: intrusion detection; model-based anomaly detection; substation communication network; IEC 61850 electrical substations; ARFIMA model; cyber-physical security; DoS attacks

International Tourists’ Expenditures In Thailand: A Modelling Of The Arfima-Figarch Approach,
Kanchana Chokethaworn, Aree Wiboonponse, Songsak Sriboonchitta, Jittaporn Sriboonjit, Chukiat Chaiboonsri and Prasert Chaitip, in Annals of the University of Petrosani, Economics (2010)
Keywords: Thailand, ARFIMA-FIGARCH method, International Tourists’ Expenditure

Forecasting daily spot prices in the Russian electricity market with the ARFIMA model,
Yuri Balagula, in Applied Econometrics (2020)
Keywords: ARFIMA; time series; long memory; electricity market

Testing for threshold effect in ARFIMA models: Application to US unemployment rate data,
Amine Lahiani and Olivier Scaillet, in International Journal of Forecasting (2009)
Keywords: Threshold ARFIMA LM test Asymmetric time series

Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting,
Heni Boubaker, Giorgio Canarella, Rangan Gupta and Stephen Miller, from University of Pretoria, Department of Economics (2020)
Keywords: Wavelet decomposition, WLLWNN, Neural network, ARFIMA, HYGARCH

Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting,
Heni Boubaker, Giorgio Canarella, Rangan Gupta and Stephen Miller, from University of Connecticut, Department of Economics (2020)
Keywords: Wavelet decomposition, WLLWNN, Neural network, ARFIMA, HYGARCH

Testing for threshold effect in ARFIMA models: Application to US unemployment rate data,
Amine Lahiani and Olivier Scaillet, from Swiss Finance Institute (2008)
Keywords: Threshold ARFIMA, LM test, Asymmetric time series

A Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting,
Heni Boubaker, Giorgio Canarella, Rangan Gupta and Stephen Miller, in Computational Economics (2023)
Keywords: Wavelet decomposition, WLLWNN, Neural network, ARFIMA, HYGARCH

Statistical analysis of DWT coefficients of fGn processes using ARFIMA(p,d,q) models,
Shivam Bhardwaj, Vikram M. Gadre and E. Chandrasekhar, in Physica A: Statistical Mechanics and its Applications (2020)
Keywords: Discrete wavelet transform; Fractional Gaussian noise; ARFIMA(p,d,q) models; Akaike information criteria; Bayesian information criteria;

Long memory and regime switching: A simulation study on the Markov regime-switching ARFIMA model,
Yanlin Shi and Kin-Yip Ho, in Journal of Banking & Finance (2015)
Keywords: Long memory; Regime switching; ARFIMA; Markov Regime-Switching ARFIMA;

Testing of Long Memory in Indian Stock Market using ARFIMA model,
Naliniprava Tripathy, in Journal of Prediction Markets (2015)
Keywords: Unit Root Test, Autocorrelation Test, Long Memory, Rescaled Range (R/S) statistics, ARFIMA Mode

Influence of some ARFIMA model parameters on the accuracy of financial time series forecasting,
Robert Garafutdinov, in Applied Econometrics (2021)
Keywords: ARFIMA; financial time series; long memory; Hurst index; detrended fluctuation analysis.

Analysing South Africa's Inflation Persistence Using an ARFIMA Model with Markov-Switching Fractional Differencing Parameter,
Mehmet Balcilar, Rangan Gupta and Charl Jooste, from University of Pretoria, Department of Economics (2014)
Keywords: Inflation persistence, MS-ARFIMA, inflation regimes

Analyzing South Africa’s inflation persistence using an ARFIMA model with Markov-switching fractional differencing parameter,
Mehmet Balcilar, Rangan Gupta and Charl Jooste, in Journal of Developing Areas (2016)
Keywords: Inflation persistence, MS-ARFIMA, inflation regimes

Analysing South Africa's Inflation Persistence Using an ARFIMA Model with Markov-Switching Fractional Differencing Parameter,
Mehmet Balcilar, Rangan Gupta and Charl Jooste, from Eastern Mediterranean University, Department of Economics (2014)
Keywords: Inflation persistence; MS-ARFIMA; inflation regimes

Extended Fractional Gaussian Noise and Simple ARFIMA Approximations,
Man Kasing, in Journal of Time Series Econometrics (2010)
Keywords: ARFIMA model, fractional Gaussian noise, invariant, long memory time series, temporal aggregates

On the estimation and diagnostic checking of the ARFIMA–HYGARCH model,
Wilson Kwan, Wai Keung Li and Guodong Li, in Computational Statistics & Data Analysis (2012)
Keywords: HYGARCH model; Long memory in volatility; Portmanteau test;

Systematic inference of the long-range dependence and heavy-tail distribution parameters of ARFIMA models,
Timothy Graves, Christian L.E. Franzke, Nicholas W. Watkins, Robert B. Gramacy and Elizabeth Tindale, in Physica A: Statistical Mechanics and its Applications (2017)
Keywords: Long-range dependence; Heavy-tails; Bayesian estimation; ARFIMA;

Predicting expected idiosyncratic volatility: Empirical evidence from ARFIMA, HAR, and EGARCH models,
Chuxuan Xiao, Winifred Huang and David P. Newton, in Review of Quantitative Finance and Accounting (2024)
Keywords: Asset Pricing, Idiosyncratic volatility, Time-varying, ARFIMA, HAR, EGARCH

RATS program to estimate a model with fractional differencing,
Tom Doan, from Boston College Department of Economics
Keywords: ARFIMA model, fractional differencing, long memory

Modified information criteria and selection of long memory time series models,
Richard T. Baillie, George Kapetanios and Fotis Papailias, in Computational Statistics & Data Analysis (2014)
Keywords: Long memory; ARFIMA models; Modified information criteria;

Least absolute deviation estimation for general fractionally integrated autoregressive moving average time series models,
Rongning Wu, in Statistics & Probability Letters (2014)
Keywords: ARFIMA model; LAD estimation; Noncausality; Noninvertibility;

Approximating long-memory processes with low-order autoregressions: Implications for modeling realized volatility,
Richard T. Baillie, Dooyeon Cho and Seunghwa Rho, in Empirical Economics (2023)
Keywords: Long-memory, ARFIMA, Realized volatility, HAR models

The nature of volatility in temporal profit with in Ethiopian commodity exchange: The case of washed export coffee modelled using ARFIMA-M-HYGARCH model,
Taddese Mezgebo, from University Library of Munich, Germany (2012)
Keywords: Ethiopian commodity exchange, coffee export, Ethiopia, ECX, FIGARCH, HYGARCH, ARFIMA

Does the ARFIMA really shift?,
Davide Delle Monache, Stefano Grassi and Paolo Santucci de Magistris, from Department of Economics and Business Economics, Aarhus University (2017)
Keywords: ARFIMA Processes, Level Shifts, State-Space methods, KPSS test

Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model,
Isao Ishida and Toshiaki Watanabe, from Institute of Economic Research, Hitotsubashi University (2009)
Keywords: ARFIMA-GARCH, Volatility of realized volatility, Realized bipower variation, Jump detection, BDS test, Hong-Li test, High-frequency Nikkei 225 data

Calculating and Analizing Impulse Responses and their Asymptotic Distributions for the ARFIMA and VARMA Models,
C.F. Chung, from Michigan State - Econometrics and Economic Theory (1994)
Keywords: ECONOMETRICS;MODELS;MATHEMATICS

Estimation Biases, Size and Power of a Test on the Long Memory Parameter in ARFIMA Models,
Elkin Castaño, Santiago Gallón and Karoll Gomez, in Lecturas de Economía (2010)
Keywords: Hypothesis testing, time-series models

Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices,
Siem Jan Koopman, Marius Ooms and M. Angeles Carnero, from Tinbergen Institute (2005)
Keywords: Autoregressive fractionally integrated moving average model; Generalised autoregressive conditional heteroskedasticity model; Long memory process; Periodic autoregressive model; Volatility

A Generalized ARFIMA Model with Smooth Transition Fractional Integration Parameter,
Boubaker Heni, in Journal of Time Series Econometrics (2018)
Keywords: time-varying long memory, local-stationarity, STR model, wavelet, ILSE, financial time series

Bayesian Analysis of Long Memory and Persistence using ARFIMA Models,
Gary Koop, from University of Toronto, Department of Economics (1995)
Keywords: Fractionally Integrated Models, Impulse Responses, Time Series, Trend Stationarity, Unit Root

Bayesian Analysis of Long Memory and Persistence using ARFIMA Models,
Gary Koop, Eduardo Ley, Jacek Osiewalski and Mark Steel, from University Library of Munich, Germany (2004)
Keywords: Fractionally Integrated Models, Impulse Responses, Time Series, Trend Stationarity, Unit Root

ARFIMA processes and outliers: a weighted likelihood approach,
Claudio Agostinelli and Luisa Bisaglia, in Journal of Applied Statistics (2010)
Keywords: ARFIMA processes, outliers, robust estimation, weighted likelihood,

Modelling and forecasting monthly Brent crude oil prices: a long memory and volatility approach,
Shaher Al-Gounmeein Remal and Mohd Tahir Ismail, in Statistics in Transition New Series (2021)
Keywords: ARFIMA, volatility, fGARCH, sGARCH, modelling and forecasting, hybrid model.

The Use of Weather Variables in the Modeling of Demand for Electricity in One of the Regions in the Southern Poland,
Aneta Wlodarczyk and Marcin Zawada, in Dynamic Econometric Models (2009)
Keywords: weather variables, the ARFIMA-FIGARCH class model, weather risks.

International Tourist Arrivals In Thailand: Forecasting With Arfima-Figarch Approach,
Kanchana Chokethaworn, Thanes Sriwichailamphan, Songsak Sriboonchitta, Chukiat Chaiboonsri, Jittaporn Sriboonjit and Prasert Chaitip, in Annals of the University of Petrosani, Economics (2010)
Keywords: Thailand, ARFIMA-FIGARCH method, International Tourists

Fractionally Integrated Models for Volatility: A Review,
Dean Fantazzini, from Palgrave Macmillan (2011)
Keywords: Conditional Variance, GARCH Model, EGARCH Model, ARFIMA Model, Fractional Difference Parameter

Testing for long memory in ISE using Arfima-Figarch model and structural break test,
Turhan Korkmaz, Emrah Çevik and Nesrin Özataç, from University Library of Munich, Germany (2009)
Keywords: Long memory, structural breaks in variance, Figarch model

An ARFIMA multi-level model of dual-component expectations in repeated cross-sectional survey data,
Steven D. Silver and Marko Raseta, in Empirical Economics (2021)
Keywords: Expectations, Multi-component models, Estimation in RCSs, Behavioral finance

Analyzing the Selective Stock Price Index Using Fractionally Integrated and Heteroskedastic Models,
Javier E. Contreras-Reyes, Joaquín E. Zavala and Byron J. Idrovo-Aguirre, in JRFM (2024)
Keywords: selective stock price; stock markets; volatility; GARCH model; long memory; ARFIMA model; FIGARCH model

Liquidation discount—a novel application of ARFIMA–GARCH,
Ranjodh B. Singh, John Gould, Felix Chan and Joey Wenling Yang, in Journal of Empirical Finance (2016)
Keywords: Stock market liquidity; Liquidity risk; Market impact; Fractional differencing; ARFIMA; GARCH;

Modelling prices and volatilities in the sharing economy,
Jorge V Pérez-Rodríguez, Juan M Hernández and Julián Andrada-Félix, in Tourism Economics (2024)
Keywords: Average daily prices; volatility; fractional modelling; ARFIMA-HYGARCH models; machine learning forecasts; long short-term memory

Down Trend Forecasting Method with ARFIMA: International Tourist Arrivals to Thailand,
Prasert Chaitip and Chukiat Chaiboonsri, in Annals of the University of Petrosani, Economics (2009)
Keywords: Thailand, Down Trend Forecasting Method, ARFIMA method, International tourists

Identification and validation of stable ARFIMA processes with application to UMTS data,
Krzysztof Burnecki and Grzegorz Sikora, in Chaos, Solitons & Fractals (2017)
Keywords: ARFIMA process; Stable distribution; Long memory; UMTS data;

A generalized ARFIMA process with Markov-switching fractional differencing parameter,
Wen-Jen Tsay and Wolfgang Härdle, from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2007)
Keywords: Markov chain, ARFIMA process, Viterbi algorithm, Long memory

An Alternative Reference Scenario for Global CO2Emissions from Fuel Consumption: An ARFIMA Approach,
José Belbute and Alfredo Pereira, from Department of Economics, College of William and Mary (2015)
Keywords: Forecasting, reference scenario, CO2emissions, fuel, long memory, ARFIMA.

Investigating Inflation Dynamics and Structural Change with an Adaptive ARFIMA Approach,
Richard T. Baille and Claudio Morana, from ICER - International Centre for Economic Research (2009)
Keywords: ARFIMA; FIGARCH, long memory, structural change, inflation, G7.

Bayesian Inference for ARFIMA Models,
Garland Durham, John Geweke, Susan Porter‐Hudak and Fallaw Sowell, in Journal of Time Series Analysis (2019)

Long Memory, Realized Volatility and HAR Models,
Richard T. Baillie, Fabio Calonaci, Dooyeon Cho and Seunghwa Rho, from Queen Mary University of London, School of Economics and Finance (2019)
Keywords: Long memory, Restricted ARFIMA, Realized volatility, HAR model, Time varying parameters

Long Memory Processes and Chronic Inflation: Detecting Homogeneous Components in a Linear Rational Expectation Model,
Fabio Scacciavillani, from International Monetary Fund (1994)
Keywords: WP;price level;money supply;present value; consumer price price level; model ARFIMA; ARFIMA process; inflation expectation; stochastic process; Monetary base; Inflation; Hyperinflation; Rational expectations

Modelling and forecasting wind speed intensity for weather risk management,
Massimiliano Caporin and Juliusz Pres, from Dipartimento di Scienze Economiche "Marco Fanno" (2010)
Keywords: Gamma Auto Regressive, Auto Regressive Gamma, ARFIMA-FIGARCH, wind speed modelling, wind speed simulation

Statistical analysis of autoregressive fractionally integrated moving average models in R,
Javier Contreras-Reyes and Wilfredo Palma, in Computational Statistics (2013)
Keywords: ARFIMA models, Long-memory time series, Whittle estimation, Exact variance matrix, Impulse response functions, Forecasting, R,

Long memory forecasting of yield spreads using a fractionally integrated ARMA model and its application in Islamic capital market,
Issam Bousalam and Moustapha Hamzaoui, in International Journal of Bonds and Derivatives (2017)
Keywords: long memory; ARFIMA model; Sukuk; yield spreads analysis; YSA; Islamic indexes.

Risks in Major Cryptocurrency Markets: Modeling the Dual Long Memory Property and Structural Breaks,
Zhuhua Jiang, Walid Mensi and Seong-Min Yoon, in Sustainability (2023)
Keywords: cryptocurrency; dual long memory (LM); structural breaks (SBs); efficient market hypothesis; ARFIMA-FIGARCH model

Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters: The importance of scheduled and unscheduled news announcements,
Walid Mensi, Shawkat Hammoudeh and Seong-Min Yoon, in International Review of Economics & Finance (2014)
Keywords: Dual long memory; Structural breaks; News announcements; ARFIMA–FIGARCH model; Out-of-sample forecasts;

Forecasting with X-12-ARIMA and ARFIMA: International Tourist Arrivals to India,
Prasert Chaitip and Chukiat Chaiboonsri, in Annals of the University of Petrosani, Economics (2009)
Keywords: India, international tourism, X-12-ARIMA method, ARFIMA method, best forecasting methods

Positivity properties of the ARFIMA(0,d,0) specifications and credibility analysis of frequency risks,
Jean Pinquet, in Insurance: Mathematics and Economics (2020)
Keywords: ARFIMA(0,d,0) specifications; Poisson mixtures; Semiparametric analysis; Linear credibility; Spectral measure of stationary random effects;

Long Memory in UK Real GDP, 1851-2013: An ARFIMA-FIGARCH Analysis,
Guglielmo Maria Caporale and Marinko Skare, from DIW Berlin, German Institute for Economic Research (2014)
Keywords: ARFIMA-(FI)GARCH, Dual long memory, Volatility, Fractional impulse-response, Unemployment, Inflation

Modeling Latin-American Stock and Forex Markets Volatility: Empirical Application of a Model with Random Level Shifts and Genuine Long Memory [Modelando la volatilidad de los mercados bursátiles y cambiarios en América Latina: Aplicación empírica de un modelo de cambios de nivel aleatorios y larga memoria genuina],
Gabriel Rodríguez, from Departamento de Economía - Pontificia Universidad Católica del Perú (2016)
Keywords: ARFIMA Models , GARCH Effects , Latin-America , Long memory , Random Level Shifts , Stock Markets , Volatility

An alternative reference scenario for global CO2 emissions from fuel consumption: An ARFIMA approach,
José Belbute and Alfredo Pereira, in Economics Letters (2015)
Keywords: Forecasting; Reference scenario; CO2 emissions; Fuel; Long memory; ARFIMA;

ARFIMA Reference Forecasts for Worldwide CO2 Emissions and the National Dimension of the Policy Efforts to Meet IPCC Targets,
José Belbute and Alfredo Pereira, in Journal of Economic Development (2022)
Keywords: CO2 Emissions; IPCC Emission Targets; Long Memory; ARFIMA

ARFIMA Reference Forecasts for Worldwide CO2 Emissions and the National Dimension of the Policy Efforts to Meet IPCC Targets,
José Manuel Madeira Belbute, from University of Evora, CEFAGE-UE (Portugal) (2019)
Keywords: CO2 emissions, IPCC emission targets, long memory, ARFIMA

ARFIMA Reference Forecasts for Worldwide CO2 Emissions and the National Dimension of the Policy Efforts to Meet IPCC Targets,
José Belbute and Alfredo Pereira, from Gabinete de Estratégia e Estudos, Ministério da Economia (2019)
Keywords: CO2 emissions, IPCC emission targets, long memory, ARFIMA

Modélisation du Comportement du Taux de Change du Dinar Algérien: Une Investigation Empirique par la Méthode ARFIMA,
Soumia Aouad Hadjer, Mustapha Kamel Taouli and Mohamed Benbouziane, from University Library of Munich, Germany (2012)
Keywords: Exchange rates - long memory - persistence- anti-persistence - ARFIMA-

Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory,
Gabriel Rodríguez, in The North American Journal of Economics and Finance (2017)
Keywords: Long memory; ARFIMA models; Random level shifts; Latin-American stock and Forex markets volatility; Density forecasts; Value-at-Risk;

Error and Model Misspecification in ARFIMA Process,
Valderio A. Reisen, Manoel R. Sena and Silvia R. C . Lopes, in Brazilian Review of Econometrics (2001)

Optimal prediction with nonstationary ARFIMA model,
Mohamed Boutahar, in Journal of Forecasting (2007)

MODELLING FOR THE WAVELET COEFFICIENTS OF ARFIMA PROCESSES,
Kei Nanamiya, in Journal of Time Series Analysis (2014)

Indirect estimation of ARFIMA and VARFIMA models,
Vance Martin and Nigel P. Wilkins, in Journal of Econometrics (1999)

Comparing the Bias and Misspecification in Arfima Models,
Jeremy Smith, Nick Taylor and Sanjay Yadav, from University of Warwick, Department of Economics (1995)

Comparing the bias and misspecification in ARFIMA models,
Jeremy Smith, Nick Taylor and Sanjay Yadav, in Journal of Time Series Analysis (1997)

Comparing the Bias and Misspecification in ARFIMA Models,
Jeremy Smith, Nick Taylor and Sanjay Yadav, from University of Warwick - Department of Economics (1995)
Keywords: Agricultural and Food Policy, Research Methods/ Statistical Methods

Invariance of the first difference in ARFIMA models,
Barbara Olbermann, Sílvia Lopes and Valdério Reisen, in Computational Statistics (2006)
Keywords: Non-stationary processes, Long memory, Estimation, Invariance,

Indirect Estimation of Arfima and Varfima Models,
Vance Martin and N.P. Wilkins, from The University of Melbourne (1997)
Keywords: ECONOMETRICS;EVALUATION

Modelling for the Wavelet Coefficients of ARFIMA Processes,
Kei Nanamiya, from Institute of Economic Research, Hitotsubashi University (2013)
Keywords: discrete wavelet transform, long memory process, spectral density function

Modelling and forecasting wind speed intensity for weather risk management,
Massimiliano Caporin and Juliusz Preś, in Computational Statistics & Data Analysis (2012)
Keywords: Gamma Auto Regressive; Auto Regressive Gamma; ARFIMA–FIGARCH; Wind speed modelling; Wind speed simulation; Weather risk management;

Issues in the estimation of mis-specified models of fractionally integrated processes,
Gael M. Martin, K. Nadarajah and Donald Poskitt, in Journal of Econometrics (2020)
Keywords: Long memory models; ARFIMA; Pseudo-true parameter; Frequency domain estimators; Time domain estimators; Mis-specified short memory dynamics;

Efficient Inference in Multivariate Fractionally Integrated Time Series Models,
Morten Nielsen, from Department of Economics and Business Economics, Aarhus University
Keywords: Asymptotic Local Power; Efficient Estimation; Efficient Test; Fractional Integration; Multivariate ARFIMA model; Multivariate Fractional Unit Root; Nonstationarity

Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights,
Pushpa Dissanayake, Teresa Flock, Johanna Meier and Philipp Sibbertsen, in Mathematics (2021)
Keywords: peaks-over-threshold; extremal clustering; long-range dependence; ARFIMA models; extreme value theory; significant wave heights; Sefton coast

Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights,
Pushpa Dissanayake, Teresa Flock, Johanna Meier and Philipp Sibbertsen, from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät (2021)
Keywords: peaks-over-threshold; extremal clustering; long-range dependence; ARFIMA models; extreme value theory; significant wave heights; Sefton coast

ARFIMA Tests for Random Walks in Exchange Rates in Asian, Latin American and African-Middle Eastern Markets,
David Karemera and John Cole, in Review of Pacific Basin Financial Markets and Policies (RPBFMP) (2010)
Keywords: ARFIMA tests, ML estimation, emerging markets, foreign exchange rates, forecast accuracy, F31, F37, F47

Energy demand forecasting using adaptive ARFIMA based on a novel dynamic structural break detection framework,
Ali Nikseresht and Hamidreza Amindavar, in Applied Energy (2024)
Keywords: Energy demand; Energy time series; Forecasting; Statistical signal processing; Adaptive ARFIMA; Dynamic structural break detection;

Quantitative Models and ARFIMA Modelling at PGGM Real Estate,
Peter de Haas and Pijnenburg Manicka, from European Real Estate Society (ERES) (2004)

Model checking on ARFIMA models with general dependent errors,
Muyi Li, from Wang Yanan Institute for Studies in Economics (WISE), Xiamen University (2019)