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Local polynomial Whittle estimation of perturbed fractional processes

Author

Listed:
  • Per Frederiksen
  • Frank S. Nielsen
  • Morten Ørregaard Nielsen

    (School of Economics and Management, University of Aarhus, Denmark and CREATES)

Abstract

We propose a semiparametric local polynomial Whittle with noise (LPWN) estimator of the memory parameter in long memory time series perturbed by a noise term which may be serially correlated. The estimator approximates the spectrum of the perturbation as well as that of the short-memory component of the signal by two separate polynomials. Furthermore, an empirical investigation of the 30 DJIA stocks shows that this estimator indicates stronger persistence in volatility than the standard local Whittle estimator.

Suggested Citation

  • Per Frederiksen & Frank S. Nielsen & Morten Ørregaard Nielsen, 2008. "Local polynomial Whittle estimation of perturbed fractional processes," CREATES Research Papers 2008-29, Department of Economics and Business Economics, Aarhus University.
    • Handle: RePEc:aah:create:2008-29
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    References listed on IDEAS

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    More about this item

    Keywords

    Bias reduction; local Whittle; long memory; perturbed fractional process; semiparametric estimation; stochastic volatility;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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    This paper has been announced in the following NEP Reports:

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