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density and autocorrelation function of these stationary models. The spectrum has the typical shape for different models. This … shape depends on sign of parameters. On other side, from shape of spectrum we cannot derive the accurate type of model …, because the different models have the similar shape of spectrum. But the shape of spectrum is very important complementary …
Persistent link: https://www.econbiz.de/10005036431
This paper is concerned with the estimation of covariance matrices in the presence of heteroskedasticity and autocorrelation of unknown forms. Currently available estimators that are designed for this context depend upon the choice of a lag truncation parameter and a weighting scheme. No results...
Persistent link: https://www.econbiz.de/10005762692
Smoothed nonparametric estimates of the spectral density matrix at zero frequency have been widely used in econometric inference, because they can consistently estimate the covariance matrix of a partial sum of a possibly dependent vector process. When elements of the vector process exhibit long...
Persistent link: https://www.econbiz.de/10010745476
This paper establishes error orders for integral limit approximations to traces of powers to the pth order) of products of Toeplitz matrices. Such products arise frequently in the analysis of stationary time series and in the development of asymptotic expansions. The elements of the matrices are...
Persistent link: https://www.econbiz.de/10005593375
An asymptotic expansion is given for the autocovariance matrix of a vector of stationary long-memory processes with memory parameters d satisfying 0 < d < 1/2. The theory is then applied to deliver formulae for the long run covariance matrices of multivariate time series with long memory.
Persistent link: https://www.econbiz.de/10005463993
Smoothed nonparametric estimates of the spectral density matrix at zero frequency have been widely used in econometric inference, because they can consistently estimate the covariance matrix of a partial sum of a possibly dependent vector process. When elements of the vector process exhibit long...
Persistent link: https://www.econbiz.de/10005670815
Rodriguez and Rodrik (2000) argue that the relation between openness and growth is still an open question. One of the main problems in the assessment of the effect is the endogeneity of the relation. In order to address this issue, this paper applies the identification through heteroskedasticity...
Persistent link: https://www.econbiz.de/10005768790
This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...
Persistent link: https://www.econbiz.de/10010341025
induces significant correlation. Some difficulties encountered in these modelling procedures include high dimensionality and …
Persistent link: https://www.econbiz.de/10012158155
Persistent link: https://www.econbiz.de/10011687504