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Iterative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties

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Author Info

  • Jan Beran

    ()
    (Department of Mathematics and Statistics, University of Konstanz)

  • Yuanhua.Feng

    ()
    (Department of Mathematics and Statistics, University of Konstanz)

Abstract

In this paper data-driven algorithms for fitting SEMIFAR models (Beran, 1999) are proposed. The algorithms combine the data-driven estimation of the nonparamet- ric trend and maximum likelihood estimation of the parameters. Convergence and asymptotic properties of the proposed algorithms are investigated. A large simulation study illustrates the practical performance of the methods.

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File URL: http://cofe.uni-konstanz.de/Papers/dp01_11.pdf
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Bibliographic Info

Paper provided by Center of Finance and Econometrics, University of Konstanz in its series CoFE Discussion Paper with number 01-11.

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Length: 14 pages
Date of creation: Nov 2001
Date of revision:
Handle: RePEc:knz:cofedp:0111

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Related research

Keywords: semiparametric models; long-range dependence; fractional ARIMA; antipersistence; nonparametric regression; bandwidth selection;

This paper has been announced in the following NEP Reports:

References

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  1. Hall, Peter & Hart, Jeffrey D., 1990. "Nonparametric regression with long-range dependence," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 36(2), pages 339-351, December.
  2. Jan Beran & Yuanhua Feng, 2000. "Data-driven estimation of semiparametric fractional autoregressive models," CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz 00-16, Center of Finance and Econometrics, University of Konstanz.
  3. Jan Beran, 1999. "SEMIFAR Models - A Semiparametric Framework for Modelling Trends, Long Range Dependence and Nonstationarity," CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz 99-16, Center of Finance and Econometrics, University of Konstanz.
  4. Jan Beran & Yuanhua Feng, 2002. "Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent Errors," Annals of the Institute of Statistical Mathematics, Springer, Springer, vol. 54(2), pages 291-311, June.
  5. Jan Beran & Dirk Ocker, 1999. "Volatility of Stock Market Indices - An Analysis based on SEMIFAR Models," CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz 99-14, Center of Finance and Econometrics, University of Konstanz.
  6. Jan Beran & Dirk Ocker, 1999. "SEMIFAR Forecasts, with Applications to Foreign Exchange Rates," CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz 99-13, Center of Finance and Econometrics, University of Konstanz.
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Citations

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Cited by:
  1. Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza, 2013. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 41(2), pages 249-265, February.
  2. Yuanhua Feng & Lixin Sun, 2013. "A semi-APARCH approach for comparing long-term and short-term risk in Chinese financial market and in mature financial markets," Working Papers CIE 69, University of Paderborn, CIE Center for International Economics.
  3. Yuanhua Feng & Jan Beran & Keming Yu, 2007. "Modelling financial time series with SEMIFAR-GARCH model," CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz 07-14, Center of Finance and Econometrics, University of Konstanz.
  4. Yuanhua Feng, 2010. "An iterative plug-in algorithm for decomposing seasonal time series using the Berlin Method," Working Papers CIE 33, University of Paderborn, CIE Center for International Economics.
  5. repec:pdn:wpaper:69 is not listed on IDEAS
  6. Yuanhua Feng, 2002. "An Iterative Plug-In Algorithm for Nonparametric Modelling of Seasonal Time Series," CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz 02-04, Center of Finance and Econometrics, University of Konstanz.
  7. Yuanhua Feng, 2011. "Data-driven estimation of diurnal duration patterns," Working Papers CIE 44, University of Paderborn, CIE Center for International Economics.
  8. repec:pdn:wpaper:44 is not listed on IDEAS
  9. Yuanhua Feng & Sarah Forstinger & Christian Peitz, 2013. "On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations," Working Papers CIE 66, University of Paderborn, CIE Center for International Economics.
  10. repec:knz:cofedp:0302 is not listed on IDEAS
  11. repec:pdn:wpaper:66 is not listed on IDEAS
  12. Jan Beran & Yuanhua.Feng, 2001. "Supplement to the Paper "Interative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties": Detailed Simulation Results," CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz 01-12, Center of Finance and Econometrics, University of Konstanz.
  13. Feng, Yuanhua, 2004. "Simultaneously Modeling Conditional Heteroskedasticity And Scale Change," Econometric Theory, Cambridge University Press, vol. 20(03), pages 563-596, June.
  14. Jan Beran, 2007. "On parameter estimation for locally stationary long-memory processes," CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz 07-13, Center of Finance and Econometrics, University of Konstanz.
  15. Jan Beran & Yuanhua.Feng, 2002. "Recent Developments in Non- and Semiparametric Regression with Fractional Time Series Errors," CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz 02-13, Center of Finance and Econometrics, University of Konstanz.

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