Log-periodogram regression in asymmetric long memory
نویسنده
چکیده
منابع مشابه
Augmented log-periodogram regression in long memory signal plus noise models
The estimation of the memory parameter in perturbed long memory series has recently attracted attention motivated especially by the strong persistence of the volatility of many financial and economic time series and the use of Long Memory in Stochastic Volatility (LMSV) processes to model such a behaviour. This paper proposes an extension of the log periodogram regression which explicitly accou...
متن کاملLong-memory in volatilities of German stock returns
We show that there is strong evidence of long-range dependence in the volatilities of several German stock returns. This will be done by estimating the memory parameter of the absolute returns with classical log-periodogram regression as well as by employing the tapered periodogram. Both estimators give similar values for the memory parameter what indicates long-memory.
متن کاملOn the Log Periodogram Regression Estimator of the Memory Parameter in Long Memory Stochastic Volatility Models
We consider semiparametric estimation of the memory parameter in a long memory stochastic volatility model+ We study the estimator based on a log periodogram regression as originally proposed by Geweke and Porter-Hudak ~1983, Journal of Time Series Analysis 4, 221–238!+ Expressions for the asymptotic bias and variance of the estimator are obtained, and the asymptotic distribution is shown to be...
متن کاملSmall Sample Bootstrap Confidence Intervals for Long-Memory Parameter
The log periodogram regression is widely used in empirical applications because of its simplicity, since only a least squares regression is required to estimate the memory parameter, d, its good asymptotic properties and its robustness to misspecification of the short term behavior of the series. However, the asymptotic distribution is a poor approximation of the (unknown) finite sample distrib...
متن کاملMonotone spectral density estimation
We propose two estimators of a unimodal or monotone spectral density, that are based on the periodogram. These are the isotonic regression of the periodogram and the isotonic regression of the log-periodogram. We derive pointwise limit distribution results for the proposed estimators for short memory linear processes and long memory Gaussian processes and also that the estimators are rate optimal.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید
ثبت ناماگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید
ورودعنوان ژورنال:
- Kybernetika
دوره 36 شماره
صفحات -
تاریخ انتشار 2000