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A simple non-linear model with fractional integration for financial time series data

✍ Scribed by Luis A. Gil-Alana


Book ID
116577362
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
598 KB
Volume
17
Category
Article
ISSN
1057-5219

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An approach is proposed for obtaining estimates of the basic (disaggregated) series, xi, when only an aggregate series, y r , of k period non-overlapping sums of xi's is available. The approach is based on casting the problem in a dynamic linear model form. Then estimates of xi can be obtained by ap