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My bibliography Save this itemGaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
Citations
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Cited by:
- Per Frederiksen & Morten Orregaard Nielsen, 2008.
"Bias-Reduced Estimation of Long-Memory Stochastic Volatility,"
Journal of Financial Econometrics, Oxford University Press, vol. 6(4), pages 496-512, Fall.
- Per Frederiksen & Morten Ørregaard Nielsen, 2008. "Bias-reduced estimation of long memory stochastic volatility," CREATES Research Papers 2008-35, Department of Economics and Business Economics, Aarhus University.
- Lu, Yang K. & Perron, Pierre, 2010.
"Modeling and forecasting stock return volatility using a random level shift model,"
Journal of Empirical Finance, Elsevier, vol. 17(1), pages 138-156, January.
- Yang K. Lu & Pierre Perron, 2008. "Modeling and Forecasting Stock Return Volatility Using a Random Level Shift Model," Boston University - Department of Economics - Working Papers Series wp2008-012, Boston University - Department of Economics.
- Jensen Mark J., 2016.
"Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(4), pages 455-475, September.
- Mark J. Jensen, 2015. "Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility," FRB Atlanta Working Paper 2015-12, Federal Reserve Bank of Atlanta.
- La Spada Gabriele & Lillo Fabrizio, 2014.
"The effect of round-off error on long memory processes,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(4), pages 1-38, September.
- Gabriele La Spada & Fabrizio Lillo, 2011. "The effect of round-off error on long memory processes," Papers 1107.4476, arXiv.org, revised Mar 2013.
- Eduardo Rossi & Dean Fantazzini, 2015.
"Long Memory and Periodicity in Intraday Volatility,"
Journal of Financial Econometrics, Oxford University Press, vol. 13(4), pages 922-961.
- Eduardo Rossi & Dean Fantazzini, 2012. "Long memory and Periodicity in Intraday Volatility," DEM Working Papers Series 015, University of Pavia, Department of Economics and Management.
- Josu Arteche, 2012. "Standard and seasonal long memory in volatility: an application to Spanish inflation," Empirical Economics, Springer, vol. 42(3), pages 693-712, June.
- Artiach, Miguel & Arteche, Josu, 2012.
"Doubly fractional models for dynamic heteroscedastic cycles,"
Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 2139-2158.
- Artiach Escauriaza, Miguel Manuel & Arteche González, Jesús María, 2011. "Doubly fractional models for dynamic heteroskedastic cycles," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
- Arteche, Josu & Orbe, Jesus, 2009. "Using the bootstrap for finite sample confidence intervals of the log periodogram regression," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1940-1953, April.
- Shelton Peiris & Manabu Asai & Michael McAleer, 2017.
"Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models,"
JRFM, MDPI, vol. 10(4), pages 1-16, December.
- Shelton Peiris & Manabu Asai & Michael McAleer, 2016. "Estimating and forecasting generalized fractional Long memory stochastic volatility models," Documentos de Trabajo del ICAE 2016-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Shelton Peiris & Manabu Asai & Michael McAleer, 2016. "Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models," Tinbergen Institute Discussion Papers 16-044/III, Tinbergen Institute.
- Peiris, S. & Asai, M. & McAleer, M.J., 2016. "Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models," Econometric Institute Research Papers EI2016-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Carmen Broto & Esther Ruiz, 2004.
"Estimation methods for stochastic volatility models: a survey,"
Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 613-649, December.
- Broto, Carmen & Ruiz Ortega, Esther, 2002. "Estimation methods for stochastic volatility models: a survey," DES - Working Papers. Statistics and Econometrics. WS ws025414, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Ferraz, Rosemeire O. & Hotta, Luiz K., 2007. "Quasi-Maximum Likelihood Estimation of Long-Memory Stochastic Volatility Models," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 27(2), November.
- Eduardo Rossi & Paolo Santucci de Magistris, 2014.
"Estimation of Long Memory in Integrated Variance,"
Econometric Reviews, Taylor & Francis Journals, vol. 33(7), pages 785-814, October.
- Eduardo Rossi & Paolo Santucci de Magistris, 2011. "Estimation of long memory in integrated variance," CREATES Research Papers 2011-11, Department of Economics and Business Economics, Aarhus University.
- Eduardo Rossi & Paolo Santucci de Magistris, 2012. "Estimation of long memory in integrated variance," DEM Working Papers Series 017, University of Pavia, Department of Economics and Management.
- Less, Vivien & Sibbertsen, Philipp, 2022. "Estimation and Testing in a Perturbed Multivariate Long Memory Framework," Hannover Economic Papers (HEP) dp-704, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Proietti, Tommaso, 2014.
"Exponential Smoothing, Long Memory and Volatility Prediction,"
MPRA Paper
57230, University Library of Munich, Germany.
- Tommaso Proietti, 2015. "Exponential Smoothing, Long Memory and Volatility Prediction," CREATES Research Papers 2015-51, Department of Economics and Business Economics, Aarhus University.
- Tommaso Proietti, 2014. "Exponential Smoothing, Long Memory and Volatility Prediction," CEIS Research Paper 319, Tor Vergata University, CEIS, revised 30 Jul 2014.
- Silvano Bordignon & Massimiliano Caporin & Francesco Lisi, 2009. "Periodic Long-Memory GARCH Models," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 60-82.
- 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.
- 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.
- Frank S. Nielsen & Morten Ø. Nielsen & Per Houmann Frederiksen, 2009. "Local Polynomial Whittle Estimation Of Perturbed Fractional Processes," Working Paper 1218, Economics Department, Queen's University.
- Bordignon, Silvano & Caporin, Massimiliano & Lisi, Francesco, 2007. "Generalised long-memory GARCH models for intra-daily volatility," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 5900-5912, August.
- Arteche, Josu & García-Enríquez, Javier, 2017. "Singular Spectrum Analysis for signal extraction in Stochastic Volatility models," Econometrics and Statistics, Elsevier, vol. 1(C), pages 85-98.
- Javier Hualde & Morten {O}rregaard Nielsen, 2022.
"Fractional integration and cointegration,"
Papers
2211.10235, arXiv.org.
- Javier Haulde & Morten Ørregaard Nielsen, 2022. "Fractional integration and cointegration," CREATES Research Papers 2022-02, Department of Economics and Business Economics, Aarhus University.
- Ata Assaf & Luis Alberiko Gil-Alana & Khaled Mokni, 2022. "True or spurious long memory in the cryptocurrency markets: evidence from a multivariate test and other Whittle estimation methods," Empirical Economics, Springer, vol. 63(3), pages 1543-1570, September.
- Andersen, Torben G. & Varneskov, Rasmus T., 2021.
"Consistent inference for predictive regressions in persistent economic systems,"
Journal of Econometrics, Elsevier, vol. 224(1), pages 215-244.
- Torben G. Andersen & Rasmus T. Varneskov, 2021. "Consistent Inference for Predictive Regressions in Persistent Economic Systems," NBER Working Papers 28568, National Bureau of Economic Research, Inc.
- 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.
- Torben G. Andersen & Rasmus T. Varneskov, 2018. "Consistent Inference for Predictive Regressions in Persistent VAR Economies," CREATES Research Papers 2018-09, Department of Economics and Business Economics, Aarhus University.
- J. Arteche, 2012.
"Semiparametric Inference in Correlated Long Memory Signal Plus Noise Models,"
Econometric Reviews, Taylor & Francis Journals, vol. 31(4), pages 440-474.
- Arteche González, Jesús María, 2010. "Semiparametric inference in correlated long memory signal plus noise models," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
- Maria Kalli & Jim Griffin, 2015. "Flexible Modeling of Dependence in Volatility Processes," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(1), pages 102-113, January.
- Marie Busch & Philipp Sibbertsen, 2018.
"An Overview of Modified Semiparametric Memory Estimation Methods,"
Econometrics, MDPI, vol. 6(1), pages 1-21, March.
- Busch, Marie & Sibbertsen, Philipp, 2018. "An Overview of Modified Semiparametric Memory Estimation Methods," Hannover Economic Papers (HEP) dp-628, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Per Frederiksen & Frank S. Nielsen, 2008. "Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood," CREATES Research Papers 2008-59, Department of Economics and Business Economics, Aarhus University.
- Arteche, J., 2006.
"Semiparametric estimation in perturbed long memory series,"
Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2118-2141, December.
- Arteche González, Jesús María, 2005. "Semiparametric estimation in perturbed long memory series," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
- Josu Arteche, 2006. "Semiparametric estimation in perturbed long memory series," Computing in Economics and Finance 2006 22, Society for Computational Economics.
- 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.
- 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.
- García-Enríquez, Javier & Hualde, Javier, 2019. "Local Whittle estimation of long memory: Standard versus bias-reducing techniques," Econometrics and Statistics, Elsevier, vol. 12(C), pages 66-77.
- Guglielmo Maria Caporale & Luis A. Gil‐Alana & James C. Orlando, 2016.
"Linkages Between the US and European Stock Markets: A Fractional Cointegration Approach,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 21(2), pages 143-153, April.
- Guglielmo Maria Caporale & Luis A. Gil-Alana & C. James Orlando, 2015. "Linkages between the US and European Stock Markets: A Fractional Cointegration Approach," Discussion Papers of DIW Berlin 1505, DIW Berlin, German Institute for Economic Research.
- Guglielmo Maria Caporale & Luis A. Gil-Alana & C. James Orlando, 2015. "Linkages between the US and European Stock Markets: A Fractional Cointegration Approach," CESifo Working Paper Series 5523, CESifo.
- Luis A. Gil-Alana & Trilochan Tripathy, 2016. "Long Range Dependence in the Indian Stock Market: Evidence of Fractional Integration, Non-Linearities and Breaks," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 14(2), pages 199-215, December.
- Zhongjun Qu & Pierre Perron, 2008. "A Stochastic Volatility Model with Random Level Shifts: Theory and Applications to S&P 500 and NASDAQ Return Indices," Boston University - Department of Economics - Working Papers Series wp2008-007, Boston University - Department of Economics.
- Nikolaus Hautsch & Yangguoyi Ou, 2008. "Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference," SFB 649 Discussion Papers SFB649DP2008-063, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Milan Bašta, 2012. "Wavelets and Estimation of Long Memory in Log Volatility and Time Series Perturbed by Noise," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2012(2), pages 3-20.
- Alva, Kenedy & Romo, Juan & Ruiz Ortega, Esther, 2009. "Modelling intra-daily volatility by functional data analysis: an empirical application to the spanish stock market," DES - Working Papers. Statistics and Econometrics. WS ws092809, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- 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.
- Rohit Deo & Meng-Chen Hsieh & Clifford M. Hurvich & Philippe Soulier, 2007. "Long Memory in Nonlinear Processes," Papers 0706.1836, arXiv.org.
- Josu Arteche & Javier García‐Enríquez, 2022. "Singular spectrum analysis for value at risk in stochastic volatility models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(1), pages 3-16, January.
- Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2017. "The Memory of Volatility," Hannover Economic Papers (HEP) dp-601, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Mielniczuk, J. & Wojdyllo, P., 2007. "Estimation of Hurst exponent revisited," Computational Statistics & Data Analysis, Elsevier, vol. 51(9), pages 4510-4525, May.
- Assaf, Ata, 2015. "Long memory and level shifts in REITs returns and volatility," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 172-182.
- Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.
- 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.