Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory

DOI10.1080/07474930701873382MaRDI QIDQ3539876zbMATH OpenOpenAlexFDO

Authors Afonso Gonçalves da Silva, Peter M. Robinson

Publication date 19 November 2008

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL http://sticerd.lse.ac.uk/dps/em/em501.pdf

zbMATH Keywords

fractional cointegrationstochastic volatilitymemory estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• scientific article; zbMATH DE number 3332973 (Why is no real title available?)
• Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory
• Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
• Determination of cointegrating rank in fractional systems.
• Estimating Long Memory in Volatility
• Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
• Gaussian semiparametric estimation of long range dependence
• LONG AND SHORT MEMORY CONDITIONAL HETEROSKEDASTICITY IN ESTIMATING THE MEMORY PARAMETER OF LEVELS
• Log-periodogram regression of time series with long range dependence
• ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
• Root-\(n\)-consistent estimation of weak fractional cointegration
• Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence
• Semiparametric analysis of long-memory time series
• Semiparametric fractional cointegration analysis
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
• The memory of stochastic volatility models

Cited in

(1)

• Realized Volatility and Long Memory: An Overview

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