Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory

DOI10.1080/07474930701873382zbMath1359.91027OpenAlexW2110777024MaRDI QIDQ3539876

Afonso Gonçalves da Silva, Peter M. Robinson

Publication date: 19 November 2008

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://sticerd.lse.ac.uk/dps/em/em501.pdf

zbMATH Keywords

stochastic volatilityfractional cointegrationmemory estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Related Items

Realized Volatility and Long Memory: An Overview

Cites Work

• Unnamed Item
• Unnamed Item
• Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
• Root-\(n\)-consistent estimation of weak fractional cointegration
• Semiparametric analysis of long-memory time series
• Determination of cointegrating rank in fractional systems.
• Log-periodogram regression of time series with long range dependence
• Gaussian semiparametric estimation of long range dependence
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
• LONG AND SHORT MEMORY CONDITIONAL HETEROSKEDASTICITY IN ESTIMATING THE MEMORY PARAMETER OF LEVELS
• ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
• Estimating Long Memory in Volatility
• Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence
• Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory
• Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
• The memory of stochastic volatility models
• Semiparametric fractional cointegration analysis