Estimation and Computation of Long-Memory Continuous-Time Models
AbstractIn an article by Comte and Renault, a generalization of Stochastic Differential Equations to continuous fractional processes is presented. However, the problems in estimating such models are barely discussed there. It turns out that, at least for some of these models, the covariance structure may be simplified substantially by performing a simple integral wavelet transform, namely the Haar transform. The Haar wavelets also result in a natural sampling procedure. In this paper I analyze a new model, namely a long-memory generalization of Ornstein-Uhlenbeck type processes, which are the continuous-time analogues of long-memory autoregressions of order 1. A fractional Brownian motion with drift is a special case. These are important examples of applications in asset pricing and the term structure of interest rates. Computation is simplified in consequence of using wavelet transforms.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 1999 with number 1242.
Date of creation: 01 Mar 1999
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-1999-07-12 (All new papers)
- NEP-ECM-1999-07-12 (Econometrics)
- NEP-ETS-1999-07-12 (Econometric Time Series)
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).
If references are entirely missing, you can add them using this form.