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Local Polynomial Estimation with a FARIMA-GARCH Error Process

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  • Jan Beran

    ()
    (Center of Finance and Econometrics)

  • Yuanhua Feng

    ()
    (Center of Finance and Econometrics)

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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 99-08.

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Length: 28 pages
Date of creation: May 1999
Date of revision:
Handle: RePEc:knz:cofedp:9908

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References

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  1. Hall, Peter & Hart, Jeffrey D., 1990. "Nonparametric regression with long-range dependence," Stochastic Processes and their Applications, Elsevier, vol. 36(2), pages 339-351, December.
  2. Jan Beran & Yuanhua Feng, 2002. "Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent Errors," Annals of the Institute of Statistical Mathematics, Springer, vol. 54(2), pages 291-311, June.
  3. Jan Beran & Dirk Ocker, 1999. "Volatility of Stock Market Indices - An Analysis based on SEMIFAR Models," CoFE Discussion Paper 99-14, Center of Finance and Econometrics, University of Konstanz.
  4. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  5. Jan Beran & Yuanhua Feng & Günter Franke & Dieter Hess & Dirk Ocker, 1999. "SEMIFAR Models, with Applications to Commodities, Exchange Rates and the Volatility of Stock Market Indices," CoFE Discussion Paper 99-18, Center of Finance and Econometrics, University of Konstanz.
  6. Hosking, Jonathan R. M., 1996. "Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series," Journal of Econometrics, Elsevier, vol. 73(1), pages 261-284, July.
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Citations

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Cited by:
  1. Yuanhua Feng & Jan Beran, 2007. "Optimal Convergence Rates in Nonparametric Regression with Fractional Time Series Errors," CoFE Discussion Paper 07-15, Center of Finance and Econometrics, University of Konstanz.
  2. Charles S. Bos & Siem Jan Koopman & Marius Ooms, 2007. "Long memory modelling of inflation with stochastic variance and structural breaks," CREATES Research Papers 2007-44, School of Economics and Management, University of Aarhus.
  3. Beran, Jan & Weiershäuser, Arno, 2011. "On spline regression under Gaussian subordination with long memory," Journal of Multivariate Analysis, Elsevier, vol. 102(2), pages 315-335, February.
  4. Feng, Yuanhua & McNeil, Alexander J., 2008. "Modelling of scale change, periodicity and conditional heteroskedasticity in return volatility," Economic Modelling, Elsevier, vol. 25(5), pages 850-867, September.
  5. Feng, Yuanhua & Beran, Jan & Yu, Keming, 2006. "Modelling financial time series with SEMIFAR-GARCH model," MPRA Paper 1593, University Library of Munich, Germany.
  6. Jan Beran & Mark A. Heiler, 2008. "A nonparametric regression cross spectrum for multivariate time series," CoFE Discussion Paper 08-01, Center of Finance and Econometrics, University of Konstanz.
  7. Jan Beran & Yuanhua.Feng, 2002. "Recent Developments in Non- and Semiparametric Regression with Fractional Time Series Errors," CoFE Discussion Paper 02-13, Center of Finance and Econometrics, University of Konstanz.
  8. W. K. Li & Shiqing Ling & Michael McAleer, 2001. "A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors," ISER Discussion Paper 0545, Institute of Social and Economic Research, Osaka University.
  9. Yuanhua Feng, 2002. "Modelling Different Volatility Components in High-Frequency Financial Returns," CoFE Discussion Paper 02-18, Center of Finance and Econometrics, University of Konstanz.
  10. Feng, Yuanhua, 2004. "Simultaneously Modeling Conditional Heteroskedasticity And Scale Change," Econometric Theory, Cambridge University Press, vol. 20(03), pages 563-596, June.
  11. Beran, Jan, 2006. "On location estimation for LARCH processes," Journal of Multivariate Analysis, Elsevier, vol. 97(8), pages 1766-1782, September.
  12. Claudio Morana, 2014. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks," Working Papers 273, University of Milano-Bicocca, Department of Economics, revised May 2014.
  13. Beran, Jan & Heiler, Mark A., 2008. "A nonparametric regression cross spectrum for multivariate time series," Journal of Multivariate Analysis, Elsevier, vol. 99(4), pages 684-714, April.

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