The Slow Convergence of Ordinary Least Squares Estimators of α, β and Portfolio Weights under Long‐Memory Stochastic Volatility

DOI10.1111/jtsa.12445zbMath1421.62126OpenAlexW2909616528MaRDI QIDQ5226148

Jun Liu, Clifford M. Hurvich, Rohit S. Deo

Publication date: 30 July 2019

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12445

zbMATH Keywords

market modellinear regressionsubsamplingself-normalization

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stationary stochastic processes (60G10) Economic time series analysis (91B84)

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Estimation of \(\alpha, \beta\) and portfolio weights in a pure-jump model with long memory in volatility

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