Local polynomial Whittle estimation of perturbed fractional processes

DOI10.1016/J.JECONOM.2011.09.026MaRDI QIDQ738169zbMATH OpenOpenAlexFDO

Authors Per Frederiksen, Frank S. Nielsen, Morten Ørregaard Nielsen

Publication date 15 August 2016

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

Full work available at URL http://ageconsearch.umn.edu/record/273704

zbMATH Keywords

bias reductionlocal Whittlelong memoryperturbed fractional processsemiparametric estimationstochastic volatility

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Applications of statistics to economics (62P20)

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Cites work

• A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter
• A generalized bivariate mixture model for stock price volatility and trading volume
• Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
• Estimating Long Memory in Volatility
• ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
• Gaussian semiparametric estimation of long range dependence
• Gaussian Semiparametric Estimation of Non-stationary Time Series
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• Log-periodogram regression of time series with long range dependence
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• Long memory processes and fractional integration in econometrics
• Modeling and Forecasting Realized Volatility
• Multivariate Stochastic Variance Models
• Nonlinear log-periodogram regression for perturbed fractional processes
• ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
• Semiparametric estimation in perturbed long memory series
• Tests for Hurst effect
• The detection and estimation of long memory in stochastic volatility
• The Distribution of Realized Exchange Rate Volatility
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

Cited in

(25)

• Semiparametric estimation in perturbed long memory series
• Estimation of fractional integration in the presence of data noise
• Nonlinear log-periodogram regression for perturbed fractional processes
• A bootstrap approximation for the distribution of the local Whittle estimator
• On the memory of products of long range dependent time series
• A multivariate test against spurious long memory
• Consistent inference for predictive regressions in persistent economic systems
• Testing for parameter instability and structural change in persistent predictive regressions
• Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity
• Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations
• Local Whittle estimation of fractional integration for nonlinear processes
• EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
• MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
• Semiparametric inference in correlated long memory signal plus noise models
• Wavelet semi-parametric inference for long memory in volatility in the presence of a trend
• A generalised fractional differencing bootstrap for long memory processes
• Adaptive long memory testing under heteroskedasticity
• Exact local Whittle estimation in long memory time series with multiple poles
• Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks
• On Estimation of Hurst Parameter Under Noisy Observations
• Fractional Gaussian noise: spectral density and estimation methods
• Nonlinear log-wavelet-variance regression for perturbed 2D long memory Gaussian random fields
• Assessing volatility persistence in fractional Heston models with self-exciting jumps
• Improving the lag window estimators of the spectrum and memory for long-memory stationary Gaussian processes
• Fractional stochastic volatility model

Describes a project that uses

Uses Software

• longmemo
• Ox

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