IDEAS home Printed from https://ideas.repec.org/p/sce/scecf9/1242.html
   My bibliography  Save this paper

Estimation and Computation of Long-Memory Continuous-Time Models

Author

Listed:
  • Esben P. Hoeg

    () (Aarhus School of Business)

Abstract

In 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.

Suggested Citation

  • Esben P. Hoeg, 1999. "Estimation and Computation of Long-Memory Continuous-Time Models," Computing in Economics and Finance 1999 1242, Society for Computational Economics.
  • Handle: RePEc:sce:scecf9:1242
    as

    Download full text from publisher

    File URL: http://www.hha.dk/ifi/eh/selfsimi.html
    File Function: main text
    Download Restriction: no

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sce:scecf9:1242. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum). General contact details of provider: http://edirc.repec.org/data/sceeeea.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.