Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models

DOI10.1016/S0304-4076(03)00158-1zbMath1337.62241MaRDI QIDQ269236

Josu Arteche

Publication date: 18 April 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

frequency domain; stochastic volatility; semiparametric estimation; long memory

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

62G05: Nonparametric estimation

91B70: Stochastic models in economics

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Semiparametric Inference in Correlated Long Memory Signal Plus Noise Models, Estimation of Long Memory in Integrated Variance, MEASURING THE MEMORY PARAMETER ON SEVERAL TRANSFORMATIONS OF ASSET RETURNS, A wavelet Whittle estimator of generalized long-memory stochastic volatility, Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion, Local polynomial Whittle estimation of perturbed fractional processes, The effect of round-off error on long memory processes, Using the bootstrap for finite sample confidence intervals of the log periodogram regression, Semiparametric estimation in perturbed long memory series, Estimation of Hurst exponent revisited, Generalised long-memory GARCH models for intra-daily volatility, A bootstrap approximation for the distribution of the local Whittle estimator, Parameter estimation for long-memory stochastic volatility at discrete observation, Consistent inference for predictive regressions in persistent economic systems, Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations, Testing unit roots and long range dependence of foreign exchange, Consistent estimation of the memory parameter for nonlinear time series, Periodic Long-Memory GARCH Models

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