Title:

On the Forecasting Ability of ARFIMA Models When Infrequent Breaks Occur

Authors:

Vasco Gabriel (U Surrey, U Minho)
Luis Martins (PA State U, ISCTE - Instituto Universitário de Lisboa)

Journal:

Econometrics Journal

Year:

2004

Volume:

7

Pages:

455-475

JEL codes:

C53 - Forecasting and Other Model Applications
E31 - Price Level; Inflation; Deflation