Indirect estimation of ARFIMA and VARFIMA models

DOI10.1016/S0304-4076(99)00007-XzbMath0942.62106WikidataQ128036900 ScholiaQ128036900MaRDI QIDQ1808561

Vance L. Martin, Nigel P. Wilkins

Publication date: 21 August 2000

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

frequency domainsimulationpersistencefractional integrationlong memoryauxiliary modelsmultivariate ARFIMA

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Related Items (10)

Combining long memory and level shifts in modelling and forecasting the volatility of asset returns ⋮ Investigating volatility transmission across international equity markets using multivariate fractional models ⋮ Fast approximate likelihood evaluation for stable VARFIMA processes ⋮ Asymmetric heavy-tailed vector auto-regressive processes with application to financial data ⋮ Modeling bivariate long‐range dependence with general phase ⋮ A GENERALIZED PORTMANTEAU TEST FOR INDEPENDENCE BETWEEN TWO STATIONARY TIME SERIES ⋮ Maximum likelihood estimation in vector long memory processes via EM algorithm ⋮ Small Sample Properties of Frequency Domain Estimators for the Fractional Model ⋮ Computationally efficient methods for two multivariate fractionally integrated models ⋮ Fast Bayesian estimation for VARFIMA processes with stable errors

Cites Work

• Unnamed Item
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Time series: theory and methods.
• Parameter estimation in low order fractionally differenced ARMA processes
• A note on calculating the autocovariances of the fractionally integrated ARMA models
• Bayesian analysis of long memory and persistence using ARFIMA models
• Estimating continuous-time stochastic volatility models of the short-term interest rate
• Log-periodogram regression of time series with long range dependence
• A minimum distance estimator for long-memory processes
• Long memory processes and fractional integration in econometrics
• Modeling and pricing long memory in stock market volatility
• The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• ON GENERALIZED FRACTIONAL PROCESSES
• ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
• Bias in the sample autocorrelations of fractional noise
• Estimating stochastic differential equations efficiently by minimum chi-squared
• On some simple, autoregression-based estimation and identification techniques for ARMA models

This page was built for publication: Indirect estimation of ARFIMA and VARFIMA models