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Small Sample Bias in Conditional Sum-of-Squares Estimators of Fractionally Integrated ARMA Models

Citations

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Cited by:

  1. Giot, Pierre & Laurent, Sebastien, 2004. "Modelling daily Value-at-Risk using realized volatility and ARCH type models," Journal of Empirical Finance, Elsevier, vol. 11(3), pages 379-398, June.
  2. Takala, Kari & Virén, Matti, 1995. "Testing nonlinear dynamics, long memory and chaotic behaviour with macroeconomic data," Research Discussion Papers 9/1995, Bank of Finland.
  3. Anders Eriksson & Daniel P. A. Preve & Jun Yu, 2019. "Forecasting Realized Volatility Using a Nonnegative Semiparametric Model," JRFM, MDPI, vol. 12(3), pages 1-23, August.
  4. Morten Ørregaard Nielsen & Per Houmann Frederiksen, 2005. "Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration," Econometric Reviews, Taylor & Francis Journals, vol. 24(4), pages 405-443.
  5. Baillie, Richard T & Bollerslev, Tim, 1994. "Cointegration, Fractional Cointegration, and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 49(2), pages 737-745, June.
  6. Ching-Fan Chung & Mao-Wei Hung, 2000. "A general model for short-term interest rates," Applied Economics, Taylor & Francis Journals, vol. 32(2), pages 111-121.
  7. Haldrup, Niels & Nielsen, Morten Orregaard, 2007. "Estimation of fractional integration in the presence of data noise," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 3100-3114, March.
  8. Dmitri Koulikov, 2002. "Modeling Sequences of Long Memory Positive Weakly Stationary Random Variables," William Davidson Institute Working Papers Series 493, William Davidson Institute at the University of Michigan.
  9. Maria Caporale, Guglielmo & A. Gil-Alana, Luis, 2011. "Multi-Factor Gegenbauer Processes and European Inflation Rates," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 26, pages 386-409.
  10. Smallwood Aaron D, 2005. "Joint Tests for Non-linearity and Long Memory: The Case of Purchasing Power Parity," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(2), pages 1-30, June.
  11. Hamidreza Mostafaei & Leila Sakhabakhsh, 2012. "Using SARFIMA Model to Study and Predict the Iran s Oil Supply," International Journal of Energy Economics and Policy, Econjournals, vol. 2(1), pages 41-49.
  12. Aaron D. Smallwood & Paul M. Beaumont, 2002. "An Asymptotic MLE Approach to Modelling Multiple Frequency GARMA Models," Computing in Economics and Finance 2002 285, Society for Computational Economics.
  13. Aaron Smallwood, 2004. "Joint Tests for Long Memory and Non-linearity: The Case of Purchasing Power Parity," Computing in Economics and Finance 2004 23, Society for Computational Economics.
  14. repec:zbw:bofrdp:1995_009 is not listed on IDEAS
  15. Jesus Gonzalo & Tae-Hwy Lee, 2000. "On the robustness of cointegration tests when series are fractionally intergrated," Journal of Applied Statistics, Taylor & Francis Journals, vol. 27(7), pages 821-827.
  16. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
  17. Liu, Hsiang-Hsi, 2012. "Interrelationships among the Taiwanese, Japanese and Korean TFT-LCD panel industry stock market indexes: An application of the trivariate FIEC–FIGARCH model," Economic Modelling, Elsevier, vol. 29(6), pages 2724-2733.
  18. Juan J. Dolado & Heiko Rachinger & Carlos Velasco, 2022. "LM Tests for Joint Breaks in the Dynamics and Level of a Long-Memory Time Series," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(2), pages 629-650, April.
  19. Doornik, Jurgen A. & Ooms, Marius, 2003. "Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 333-348, March.
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