Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting

DOI10.1016/j.jeconom.2005.03.018zbMath1345.62121OpenAlexW2034548275MaRDI QIDQ274926

Morten Ørregaard Nielsen, Bent Jesper Christensen

Publication date: 25 April 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.03.018

zbMATH Keywords

long memoryhigh-frequency datasemiparametric methodsasymptotic distribution theorystationary fractional cointegration

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09)

Related Items (25)

Unnamed Item ⋮ Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach ⋮ SPECTRAL FINANCIAL ECONOMETRICS ⋮ CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS ⋮ Vector error correction heterogeneous autoregressive forecast model of realized volatility and implied volatility ⋮ DEFINITIONS AND REPRESENTATIONS OF MULTIVARIATE LONG-RANGE DEPENDENT TIME SERIES ⋮ Heterogeneity in economic relationships: scale dependence through the multivariate fractal regression ⋮ Root-\(n\)-consistent estimation of weak fractional cointegration ⋮ Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory ⋮ Forecasting a long memory process subject to structural breaks ⋮ Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination ⋮ Multiple local Whittle estimation in stationary systems ⋮ Fully modified narrow‐band least squares estimation of weak fractional cointegration ⋮ Exact local Whittle estimation of fractionally cointegrated systems ⋮ Estimation of long-run parameters in unbalanced cointegration ⋮ Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany ⋮ Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes ⋮ Semiparametric inference in multivariate fractionally cointegrated systems ⋮ Consistent inference for predictive regressions in persistent economic systems ⋮ FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS ⋮ Fixed Bandwidth Inference for Fractional Cointegration ⋮ Long Memory, Realized Volatility and Heterogeneous Autoregressive Models ⋮ A comparison of semiparametric tests for fractional cointegration ⋮ NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS ⋮ Testing for parameter instability and structural change in persistent predictive regressions

Uses Software

• longmemo

Cites Work

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