ON M‐Estimation Under Long‐Range Dependence in Volatility

DOI10.1111/J.1467-9892.2006.00506.XMaRDI QIDQ5430495zbMATH OpenOpenAlexFDO

Authors Jan Beran

Publication date 16 December 2007

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2006.00506.x

zbMATH Keywords

asymptotic normalityestimating equationslong memory

Mathematics Subject Classification ID

Gaussian processes (60G15) Asymptotic properties of parametric estimators (62F12) 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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Cites work

• A model for long memory conditional heteroscedasticity.
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• Asymptotic expansion of \(M\)-estimators with long-memory errors
• Asymptotic normality of regression estimators with long memory errors
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• Central limit theorem for the empirical process of a linear sequence with long memory
• CLT and other limit theorems for functionals of Gaussian processes
• Complete convergence of triangular arrays and the law of the iterated logarithm for U-statistics
• Convergence of integrated processes of arbitrary Hermite rank
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• Long-range dependence and Appell rank
• M Estimators of Location for Gaussian and Related Processes With Slowly Decaying Serial Correlations
• M-estimators in linear models with long range dependent errors
• Non-central limit theorems for non-linear functional of Gaussian fields
• Nonlinear time series with long memory: A model for stochastic volatility
• On convergence of the uniform norms for Gaussian processes and linear approximation problems
• On large-sample estimation for the mean of a stationary random sequence
• On the Kaplan-Meier estimator of long-range dependent sequences
• Robust Statistics
• Second-order behavior of M-estimators in linear regression with long-memory errors
• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
• Weak convergence to fractional brownian motion and to the rosenblatt process
• Zones of attraction of self-similar multiple integrals

Cited in

(5)

• Estimation of \(\alpha, \beta\) and portfolio weights in a pure-jump model with long memory in volatility
• \(L_1\)-estimation for the location parameters in stochastic volatility models
• An M-estimator for the long-memory parameter
• On a class of M-estimators for Gaussian long-memory models
• Statistical estimation for CAPM with long-memory dependence

Describes a project that uses

Uses Software

• longmemo

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