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Nonparametric Beta Kernel Estimator for Long Memory Time Series

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  • Bouezmarni, Taoufik
  • Van Bellegem, Sébastien

Abstract

The paper introduces a new nonparametric estimator of the spectral density that is given in smoothing the periodogram by the probability density of Beta random variable (Beta kernel). The estimator is proved to be bounded for short memory data, and diverges at the origin for long memory data. The convergence in probability of the relative error and Monte Carlo simulations suggest that the estimator automaticaly adapts to the long- or the short-range dependency of the process. A cross-validation procedure is also studied in order to select the nuisance parameter of the estimator. Illustrations on historical as well as most recent returns and absolute returns of the S&P500 index show the reasonable performance of the estimation, and show that the data-driven estimator is a valuable tool for the detection of long-memory as well as hidden periodicities in stock returns.

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Bibliographic Info

Paper provided by Institut d'Économie Industrielle (IDEI), Toulouse in its series IDEI Working Papers with number 633.

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Date of creation: 11 Sep 2009
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Handle: RePEc:ide:wpaper:22191

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Keywords: spectral density; long rage dependence; nonparametric estimation;

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  1. Winfried Pohlmeier & Luc Bauwens & David Veredas, 2007. "High frequency financial econometrics. Recent developments," ULB Institutional Repository 2013/136223, ULB -- Universite Libre de Bruxelles.
  2. Belleflamme,Paul & Peitz,Martin, 2010. "Industrial Organization," Cambridge Books, Cambridge University Press, number 9780521681599, April.
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