Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets

DOI10.1016/j.jeconom.2015.02.039zbMath1337.91138OpenAlexW3023275733MaRDI QIDQ2347732

A. M. Robert Taylor, Morten Ørregaard Nielsen, Giuseppe Cavaliere

Publication date: 8 June 2015

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

Full work available at URL: http://repository.essex.ac.uk/13518/1/1-s2.0-S0304407615000640-main.pdf

zbMATH Keywords

bootstrapfractional integrationscore testsefficient market hypothesistime-varying volatilityspot and futures commodity prices

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Parametric hypothesis testing (62F03)

Related Items (7)

Unnamed Item ⋮ Truncated sum-of-squares estimation of fractional time series models with generalized power law trend ⋮ Inference on the long-memory properties of time series with non-stationary volatility ⋮ R/S-bootstrapping test for fractional integration ⋮ ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form ⋮ Econometric analysis of financial derivatives: an overview

Uses Software

• Ox

Cites Work

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