Estimation of the long memory parameter in non stationary models: A Simulation Study
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References listed on IDEAS
- Tanaka, Katsuto, 1999. "The Nonstationary Fractional Unit Root," Econometric Theory, Cambridge University Press, vol. 15(04), pages 549-582, August.
- Faÿ, Gilles & Moulines, Eric & Roueff, François & Taqqu, Murad S., 2009. "Estimators of long-memory: Fourier versus wavelets," Journal of Econometrics, Elsevier, vol. 151(2), pages 159-177, August.
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Keywordsvolatility; wavelets; long memory; tapering; non-stationarity; volatility.;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-06-04 (All new papers)
- NEP-ECM-2011-06-04 (Econometrics)
- NEP-ETS-2011-06-04 (Econometric Time Series)
- NEP-ORE-2011-06-04 (Operations Research)
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