LONG AND SHORT MEMORY CONDITIONAL HETEROSKEDASTICITY IN ESTIMATING THE MEMORY PARAMETER OF LEVELS

DOI10.1017/S0266466699153027MaRDI QIDQ4512690zbMATHFDO

Authors Marc Henry, Peter M. Robinson

Publication date 1999

Published in Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(20)

• Polynomial Trend Regression With Long‐memory Errors
• Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory
• Fractional differencing in discrete time
• On the Autocorrelation Properties of Long‐Memory GARCH Processes
• Fully modified narrow-band least squares estimation of weak fractional cointegration
• Semiparametric robust tests on seasonal or cyclical long memory time series
• The role of long memory in hedging effectiveness
• LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS
• Rescaled variance and related tests for long memory in volatility and levels
• Semiparametric estimation of the intensity of long memory in conditional heteroskedasticity.
• Semi-parametric smoothing estimators for long-memory processes with added noise
• Financial econometrics: Past developments and future challenges
• Analysis of the correlation structure of square time series
• Higher-order kernel semiparametric M-estimation of long memory
• Modelling financial time series with SEMIFAR GARCH model
• Bootstrapping long memory tests: some Monte Carlo results
• CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
• Edgeworth expansions for semiparametric Whittle estimation of long memory.
• A complete asymptotic series for the autocovariance function of a long memory process
• Gaussian Semi‐parametric Estimation of Fractional Cointegration

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