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Semiparametric Estimation of the Intensity of Long Memory in Conditional Heteroskedasticity

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Author Info

  • Liudas Giraitis

    ()

  • Piotr Kokoszka

    ()

  • Remigijus Leipus

    ()

  • Gilles Teyssière

Abstract

The paper is concerned with the estimation of the long memory parameter in a conditionally heteroskedastic model proposed by Giraitis, Robinson and Surgailis (1999). We consider methods based on the partial sums of the squared observations which are similar in spirit to the classicla R/S analysis as well as spectral domain approximate maximum likelihood estimators. The finite sample performance of the estimators is examined by means of a Monte Carlo study.

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File URL: http://hdl.handle.net/10.1023/A:1009951213271
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Bibliographic Info

Article provided by Springer in its journal Statistical Inference for Stochastic Processes.

Volume (Year): 3 (2000)
Issue (Month): 1 (January)
Pages: 113-128

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Handle: RePEc:spr:sistpr:v:3:y:2000:i:1:p:113-128

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Related research

Keywords: long memory; ARCH models; semiparametric estimation; modified R / S ; KPSS and V / S statistics; periodogram;

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References

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  1. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
  2. Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
  3. Ding, Zhuanxin & Granger, Clive W. J., 1996. "Modeling volatility persistence of speculative returns: A new approach," Journal of Econometrics, Elsevier, vol. 73(1), pages 185-215, July.
  4. I.N. Lobato & N.E. Savin, 1996. "Real and Spurious Long Memory Properties of Stock Market Data," Econometrics 9605004, EconWPA, revised 26 Sep 1996.
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Cited by:
  1. Wolfgang Härdle & Julius Mungo, 2008. "Value-at-Risk and Expected Shortfall when there is long range dependence," SFB 649 Discussion Papers SFB649DP2008-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Jonathan Dark, 2004. "Long memory in the volatility of the Australian All Ordinaries Index and the Share Price Index futures," Monash Econometrics and Business Statistics Working Papers 5/04, Monash University, Department of Econometrics and Business Statistics.
  3. GIRAITIS, Liudas & KOKOSZKA, Piotr & LEIPUS, Remigijus & TEYSSIÈRE, Gilles, . "Rescaled variance and related tests for long memory in volatility and levels," CORE Discussion Papers RP -1594, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. Jonathan Dark, 2004. "Bivariate error correction FIGARCH and FIAPARCH models on the Australian All Ordinaries Index and its SPI futures," Monash Econometrics and Business Statistics Working Papers 4/04, Monash University, Department of Econometrics and Business Statistics.

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