Cheung Hiu-Yan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (leaves 83-87). / Abstracts in English and Chinese. / ACKNOWLEGMENTS --- p.iii / LIST OF TABLES --- p.iv / LIST OF ILLUSTRATIONS --- p.vi / CHAPTER / Chapter ONE --- INTRODUCTION --- p.1 / Chapter TWO --- THE LITERATURE REVIEW --- p.6 / The Family of the ARFIMA Process / Parameter Estimation of the ARFIMA Process / Applications in Economic and Financial Time Series / Chapter THREE --- THEORETICAL MODELS AND METHODOLOGY --- p.16 / Theoretical Models of Long-memory Process / Parameter Estimation / Model Selection Criteria / Hypothesis Testing / Diagnostic Checking / Evaluating the Forecasting Performance / Chapter FOUR --- EMPIRICAL RESULTS OF SIMULATION EXPERIMENTS --- p.37 / Monte Carlo Simulation / Parameter Estimation / Results of Simulation Experiments / Chapter FIVE --- DATA AND EMPIRICAL RESULTS --- p.46 / Data Description / A Long-memory Model for the Return Series / Model Evaluation / Chapter SIX --- CONCLUSION --- p.55 / TABLES --- p.58 / ILLUSTRATIONS --- p.67 / APPENDICES --- p.79 / BIBLOGRAPHY --- p.83
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_323469 |
| Date | January 2001 |
| Contributors | Cheung, Hiu-Yan., Chinese University of Hong Kong Graduate School. Division of Economics. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, vi, 87 leaves : ill. ; 30 cm. |
| Coverage | China, Hong Kong |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
Page generated in 0.0019 seconds