Estimation of fractional integration in the presence of data noise
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Publication:1019941
DOI10.1016/J.CSDA.2006.02.005zbMATH Open1161.62325OpenAlexW1970874681MaRDI QIDQ1019941FDOQ1019941
Authors: Niels Haldrup, Morten Ørregaard Nielsen 
Publication date: 29 May 2009
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2006.02.005
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Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cites Work
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Joint Estimation of Model Parameters and Outlier Effects in Time Series
- Alternative forms of fractional Brownian motion
- Local Whittle estimation in nonstationary and unit root cases.
- Log-periodogram regression of time series with long range dependence
- Gaussian semiparametric estimation of long range dependence
- Long memory processes and fractional integration in econometrics
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- Title not available (Why is that?)
- THE NONSTATIONARY FRACTIONAL UNIT ROOT
- Title not available (Why is that?)
- Modeling and Forecasting Realized Volatility
- Long memory and regime switching
- Nonlinear log-periodogram regression for perturbed fractional processes
- Title not available (Why is that?)
- The detection and estimation of long memory in stochastic volatility
- Measurement errors and outliers in seasonal unit root testing
- Fractional integration analysis of long-run behavior for US macroeconomic time series
- Testing of unit root and other nonstationary hypotheses in macroeconomic time series
- Varieties of long memory models
- Properties of nonlinear transformations of fractionally integrated processes.
- Estimating the fractionally integrated process in the presence of measurement errors
- Long-memory property of nonlinear transformations of break processes
Cited In (29)
- Estimating the persistence and the autocorrelation function of a time series that is measured with error
- Type I and type II fractional Brownian motions: a reconsideration
- Modelling the US, UK and Japanese unemployment rates: fractional integration and structural breaks
- Long memory with stochastic variance model: a recursive analysis for US inflation
- The effect of additive outliers on a fractional unit root test
- Modified information criteria and selection of long memory time series models
- When long memory meets the Kalman filter: a comparative study
- Spurious regressions driven by excessive volatility
- An \(M\)-estimator for the long-memory parameter
- Wavelet semi-parametric inference for long memory in volatility in the presence of a trend
- A comparative note about estimation of the fractional parameter under additive outliers
- Long memory and fractional differencing: revisiting Clive W. J. Granger's contributions and further developments
- Algebraic estimation for fractional integrals of noisy acceleration based on the behaviour of fractional derivatives at zero
- Local Whittle estimation of fractional integration for nonlinear processes
- Fractional Order Differentiation by Integration and Error Analysis in Noisy Environment
- Sample quantile analysis for long-memory stochastic volatility models
- On Estimation of Hurst Parameter Under Noisy Observations
- Consistent inference for predictive regressions in persistent economic systems
- Robust estimation in long-memory processes under additive outliers
- Evaluating the efficiency of fractional integration parameter estimators
- Inference of Seasonal Long‐memory Time Series with Measurement Error
- MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
- A generalised fractional differencing bootstrap for long memory processes
- Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices
- Autoregressive spectral estimates under ignored changes in the mean
- Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
- Estimation of long memory in integrated variance
- Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
- EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
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