Testing for the presence of noise in long memory processes [in Japanese]
In this paper, we propose a new test for the presence of noise in the long-memory signal plus white noise model. A similar test was proposed by Sun-Phillips(2003), so we conduct simulation experiments to examine and compare the finite sample properties of these two tests. It is well-known that the realized volatility(RV) follows a long memory process, so we apply these tests to the RVs calculated using the 1- and 5-minutes returns of the Nikkei 225 stock index.
|Date of creation:||Jan 2008|
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