Comparison of parameter estimation methods in cyclical long memory time series

Laurent Ferrara , Dominique Guegan (1)

1 Département Mathématiques Mécanique et Informatique

Developments in Forecast Combination and Portfolio Choice focuses on the following three themes: model and forecast combinations; structural change and long memory, controlling downside risk and investment strategies. Written by leading international researchers and practitioners, his book deals efficiently with three key questions facing portfolio managers. How to achieve greater forecasting accuracy; how to deal with structural change in asset allocation models and how to control downside risk, i.e. the risk of loss, in portfolio
management.

Mots clés: Forecast Combination; Portfolio Choice

Domaines: Economies et finances; Probabilités [math.PR]; Statistiques [math.ST]

Laurent Ferrara, Dominique Guegan. Comparison of parameter estimation methods in cyclical long memory time series. Christian L. Dunis, Allan Timmermann, John E. Moody. Developments in Forecast Combination and Portfolio Choice, Wiley, pp.330, 2001. ⟨halshs-00196426⟩