Bandwidth selection by cross-validation for forecasting long memory financial time series

TY - JOUR

T1 - Bandwidth selection by cross-validation for forecasting long memory financial time series

AU - Baillie, Richard T.

AU - Kapetanios, George

AU - Papailias, Fotis

PY - 2014/12

Y1 - 2014/12

N2 - The paper addresses the issue of choice of bandwidth in the application of semiparametric estimation of the long memory parameter in a univariate time series process. The focus is on the properties of forecasts from the long memory model. A variety of cross-validation methods based on out of sample forecasting properties are proposed. These procedures are used for the choice of bandwidth and subsequent model selection. Simulation evidence is presented that demonstrates the advantage of the proposed new methodology.

AB - The paper addresses the issue of choice of bandwidth in the application of semiparametric estimation of the long memory parameter in a univariate time series process. The focus is on the properties of forecasts from the long memory model. A variety of cross-validation methods based on out of sample forecasting properties are proposed. These procedures are used for the choice of bandwidth and subsequent model selection. Simulation evidence is presented that demonstrates the advantage of the proposed new methodology.

U2 - 10.1016/j.jempfin.2014.04.002

DO - 10.1016/j.jempfin.2014.04.002

M3 - Article

SN - 0927-5398

VL - 29

SP - 129

EP - 143

JO - Journal of Empirical Finance

JF - Journal of Empirical Finance

ER -