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

semiparametric estimationbias reductionlong memorystochastic volatilitylocal Whittleperturbed fractional process

Mathematics Subject Classification ID

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

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Cites work

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• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• scientific article; zbMATH DE number 897115 (Why is no real title available?)
• A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter
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• Estimating Long Memory in Volatility
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
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• Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
• Gaussian semiparametric estimation of long range dependence
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• Local Whittle estimation in nonstationary and unit root cases.
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• Long memory in continuous-time stochastic volatility models
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• 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
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Tests for Hurst effect
• The Distribution of Realized Exchange Rate Volatility
• The detection and estimation of long memory in stochastic volatility

Cited in

(20)

• Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks
• On Estimation of Hurst Parameter Under Noisy Observations
• 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
• Consistent inference for predictive regressions in persistent economic systems
• A bootstrap approximation for the distribution of the local Whittle estimator
• Nonlinear log-periodogram regression for perturbed fractional processes
• Semiparametric estimation in perturbed long memory series
• Testing for parameter instability and structural change in persistent predictive regressions
• Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity
• On the memory of products of long range dependent time series
• Estimation of fractional integration in the presence of data noise
• Adaptive long memory testing under heteroskedasticity
• Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations
• Exact local Whittle estimation in long memory time series with multiple poles
• A generalised fractional differencing bootstrap for long memory processes
• Wavelet semi-parametric inference for long memory in volatility in the presence of a trend
• Semiparametric inference in correlated long memory signal plus noise models
• A multivariate test against spurious long memory
• Local Whittle estimation of fractional integration for nonlinear processes

Describes a project that uses

Uses Software

• Ox
• longmemo

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