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Adaptive Local Polynomial Whittle Estimation of Long-range Dependence

Citations

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Cited by:

  1. 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.
  2. Casas, Isabel & Gao, Jiti, 2008. "Econometric estimation in long-range dependent volatility models: Theory and practice," Journal of Econometrics, Elsevier, vol. 147(1), pages 72-83, November.
  3. repec:exl:2manag:v:16:y:2015:i:1:p:7-37 is not listed on IDEAS
  4. Frederiksen, Per & Nielsen, Frank S. & Nielsen, Morten Ørregaard, 2012. "Local polynomial Whittle estimation of perturbed fractional processes," Journal of Econometrics, Elsevier, vol. 167(2), pages 426-447.
  5. Javier Hualde & Peter M Robinson, 2006. "Semiparametric Estimation of Fractional Cointegration," STICERD - Econometrics Paper Series 502, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  6. Hualde, J. & Robinson, P.M., 2010. "Semiparametric inference in multivariate fractionally cointegrated systems," Journal of Econometrics, Elsevier, vol. 157(2), pages 492-511, August.
  7. Kruse, Robinson & Leschinski, Christian & Will, Michael, 2016. "Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting," Hannover Economic Papers (HEP) dp-571, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  8. Hou, Jie & Perron, Pierre, 2014. "Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations," Journal of Econometrics, Elsevier, vol. 182(2), pages 309-328.
  9. Cassola, Nuno & Morana, Claudio, 2010. "Comovements in volatility in the euro money market," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 525-539, April.
  10. repec:hal:journl:peer-00834425 is not listed on IDEAS
  11. Katsumi Shimotsu, 2006. "Simple (but effective) tests of long memory versus structural breaks," Working Papers 1101, Queen's University, Department of Economics.
  12. repec:hal:journl:peer-00815563 is not listed on IDEAS
  13. Stelios Arvanitis & Antonis Demos, "undated". "A Class of Indirect Inference Estimators: Higher Order Asymptotics and Approximate Bias Correction (Revised)," DEOS Working Papers 1411, Athens University of Economics and Business, revised 23 Sep 2014.
  14. repec:gam:jecnmx:v:6:y:2018:i:1:p:13-:d:135826 is not listed on IDEAS
  15. Morana, Claudio, 2006. "A small scale macroeconometric model for the Euro-12 area," Economic Modelling, Elsevier, vol. 23(3), pages 391-426, May.
  16. Arteche, J., 2006. "Semiparametric estimation in perturbed long memory series," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2118-2141, December.
  17. Bhardwaj, Geetesh & Swanson, Norman R., 2006. "An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 539-578.
  18. Arteche, Josu & Orbe, Jesus, 2016. "A bootstrap approximation for the distribution of the Local Whittle estimator," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 645-660.
  19. Valdério A. Reisen & Eric Moulines & Philippe Soulier & Glaura C. Franco, 2010. "On the properties of the periodogram of a stationary long-memory process over different epochs with applications," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(1), pages 20-36, January.
  20. Morten Ørregaard Nielsen & Per Frederiksen, 2008. "Fully Modified Narrow-Band Least Squares Estimation of Stationary Fractional Cointegration," Working Papers 1171, Queen's University, Department of Economics.
  21. Bouezmarni, Taoufik & Van Bellegem, Sébastien, 2009. "Nonparametric Beta Kernel Estimator for Long Memory Time Series," IDEI Working Papers 633, Institut d'Économie Industrielle (IDEI), Toulouse.
  22. Abadir, Karim M. & Distaso, Walter & Giraitis, Liudas, 2011. "An I(d) model with trend and cycles," Journal of Econometrics, Elsevier, vol. 163(2), pages 186-199, August.
  23. Psaradakis, Zacharias & Vávra, Marián, 2017. "A distance test of normality for a wide class of stationary processes," Econometrics and Statistics, Elsevier, vol. 2(C), pages 50-60.
  24. Daniel J. Nordman & Philipp Sibbertsen & Soumendra N. Lahiri, 2007. "Empirical likelihood confidence intervals for the mean of a long-range dependent process," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(4), pages 576-599, July.
  25. Huang, Teng-Ching & Tu, Yu-Chen & Chou, Heng-Chih, 2015. "Long memory and the relation between options and stock prices," Finance Research Letters, Elsevier, vol. 12(C), pages 77-91.
  26. Frank S. Nielsen, 2009. "Local Whittle estimation of multivariate fractionally integrated processes," CREATES Research Papers 2009-38, Department of Economics and Business Economics, Aarhus University.
  27. repec:eee:ecosta:v:4:y:2017:i:c:p:3-17 is not listed on IDEAS
  28. Baillie, Richard T. & Kongcharoen, Chaleampong & Kapetanios, George, 2012. "Prediction from ARFIMA models: Comparisons between MLE and semiparametric estimation procedures," International Journal of Forecasting, Elsevier, vol. 28(1), pages 46-53.
  29. Dalla, Violetta & Giraitis, Liudas & Hidalgo, Javier, 2006. "Consistent estimation of the memory parameter for nonlinear time series," LSE Research Online Documents on Economics 6813, London School of Economics and Political Science, LSE Library.
  30. Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2017. "The Memory of Volatility," Hannover Economic Papers (HEP) dp-601, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  31. Krzysztof Brania & Henryk Gurgul, 2015. "The impact of estimation methods and data frequency on the results of long memory assessment," Managerial Economics, AGH University of Science and Technology, vol. 16(1), pages 7-37, January.
  32. D.S. Poskitt & Gael M. Martin & Simone D. Grose, 2012. "Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap," Monash Econometrics and Business Statistics Working Papers 8/12, Monash University, Department of Econometrics and Business Statistics.
  33. Violetta Dalla & Liudas Giraitis & Javier Hidalgo, 2006. "Consistent estimation of the memory parameterfor nonlinear time series," STICERD - Econometrics Paper Series 497, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  34. Arteche González, Jesús María & Orbe Lizundia, Jesús María, 2008. "Selection of the number of frequencies using bootstrap techniques in log-periodogram regression," BILTOKI 2008-01, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  35. Poskitt, D.S. & Grose, Simone D. & Martin, Gael M., 2015. "Higher-order improvements of the sieve bootstrap for fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 188(1), pages 94-110.
  36. Yixiao Sun, 2005. "Adaptive Estimation of the Regression Discontinuity Model," Econometrics 0506003, EconWPA.
  37. 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.
  38. Chan, Nigel & Wang, Qiying, 2015. "Nonlinear regressions with nonstationary time series," Journal of Econometrics, Elsevier, vol. 185(1), pages 182-195.
  39. Hualde, Javier & Robinson, Peter M., 2006. "Semiparametric Estimation of Fractional Cointegration," LSE Research Online Documents on Economics 4537, London School of Economics and Political Science, LSE Library.
  40. Sun, Yixiao & Phillips, Peter C. B., 2003. "Nonlinear log-periodogram regression for perturbed fractional processes," Journal of Econometrics, Elsevier, vol. 115(2), pages 355-389, August.
  41. Hassler, Uwe, 2011. "Estimation of fractional integration under temporal aggregation," Journal of Econometrics, Elsevier, vol. 162(2), pages 240-247, June.
  42. Abadir, Karim M. & Distaso, Walter & Giraitis, Liudas, 2007. "Nonstationarity-extended local Whittle estimation," Journal of Econometrics, Elsevier, vol. 141(2), pages 1353-1384, December.
  43. Morana, Claudio, 2007. "Multivariate modelling of long memory processes with common components," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 919-934, October.
  44. Baillie, Richard T. & Kapetanios, George & Papailias, Fotis, 2014. "Modified information criteria and selection of long memory time series models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 116-131.
  45. Frank S. Nielsen, 2011. "Local Whittle estimation of multi‐variate fractionally integrated processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(3), pages 317-335, May.
  46. Frank S. Nielsen, 2008. "Local polynomial Whittle estimation covering non-stationary fractional processes," CREATES Research Papers 2008-28, Department of Economics and Business Economics, Aarhus University.
  47. Henryk Gurgul & Tomasz Wojtowicz, 2006. "Long-run properties of trading volume and volatility of equities listed in DJIA index," Operations Research and Decisions, Wroclaw University of Technology, Institute of Organization and Management, vol. 3, pages 29-56.
  48. Katarzyna Lasak, 2008. "Maximum likelihood estimation of fractionally cointegrated systems," CREATES Research Papers 2008-53, Department of Economics and Business Economics, Aarhus University.
  49. Marie Busch & Philipp Sibbertsen, 2018. "An Overview of Modified Semiparametric Memory Estimation Methods," Econometrics, MDPI, Open Access Journal, vol. 6(1), pages 1-21, March.
  50. Baillie, Richard T. & Kapetanios, George, 2008. "Nonlinear models for strongly dependent processes with financial applications," Journal of Econometrics, Elsevier, vol. 147(1), pages 60-71, November.
  51. Aktham Maghyereh, 2007. "Testing for long-range dependence in stock market returns: a further evidence from MENA emerging stock markets," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 3(6), pages 365-371.
  52. Josu Arteche & Jesus Orbe, 2009. "Bootstrap-based bandwidth choice for log-periodogram regression," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(6), pages 591-617, November.
  53. Kim, Young Min & Nordman, Daniel J., 2013. "A frequency domain bootstrap for Whittle estimation under long-range dependence," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 405-420.
  54. Xiaohong Chen & Timothy M. Christensen, 2015. "Optimal sup-norm rates, adaptivity and inference in nonparametric instrumental variables estimation," CeMMAP working papers CWP32/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  55. Xiaohong Chen & Timothy Christensen, 2013. "Optimal Sup-norm Rates, Adaptivity and Inference in Nonparametric Instrumental Variables Estimation," Cowles Foundation Discussion Papers 1923R, Cowles Foundation for Research in Economics, Yale University, revised Apr 2015.
  56. Mielniczuk, J. & Wojdyllo, P., 2007. "Estimation of Hurst exponent revisited," Computational Statistics & Data Analysis, Elsevier, vol. 51(9), pages 4510-4525, May.
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