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Discriminating between fractional integration and spurious long memory

Haldrup, Niels; Kruse, Robinson - School of Economics and Management, University of Aarhus - 2014

Fractionally integrated processes have become a standard class of models to describe the long memory features of economic and financial time series data. However, it has been demonstrated in numerous studies that structural break processes and non-linear features can often be confused as being...

Persistent link: https://www.econbiz.de/10010851300

Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models

Nielsen, Morten Ørregaard - School of Economics and Management, University of Aarhus - 2014

This paper proves consistency and asymptotic normality for the conditional-sum-of-squares estimator, which is equivalent to the conditional maximum likelihood estimator, in multivariate fractional time series models. The model is parametric and quite general, and, in particular, encompasses the...

Persistent link: https://www.econbiz.de/10010935035

Local polynomial Whittle estimation covering non-stationary fractional processes

Nielsen, Frank S. - School of Economics and Management, University of Aarhus - 2008

This paper extends the local polynomial Whittle estimator of Andrews & Sun (2004) to fractionally integrated processes covering stationary and non-stationary regions. We utilize the notion of the extended discrete Fourier transform and periodogram to extend the local polynomial Whittle estimator...

Persistent link: https://www.econbiz.de/10005440065

A necessary moment condition for the fractional functional central limit theorem

Johansen, Søren; Nielsen, Morten Ørregaard - School of Economics and Management, University of Aarhus - 2010

We discuss the moment condition for the fractional functional central limit theorem (FCLT) for partial sums of x_{t}=Delta^{-d}u_{t}, where d in (-1/2,1/2) is the fractional integration parameter and u_{t} is weakly dependent. The classical condition is existence of qmax(2,(d+1/2)^{-1}) moments...

Persistent link: https://www.econbiz.de/10008680679

Volatility Components, Affine Restrictions and Non-Normal Innovations

Christoffersen, Peter; Dorion, Kris; Wang, Yintian - School of Economics and Management, University of Aarhus - 2008

Recent work by Engle and Lee (1999) shows that allowing for long-run and short-run components greatly enhances a GARCH model’s ability fit daily equity return dynamics. Using the risk-neutralization in Duan (1995), we assess the option valuation performance of the Engle-Lee model and compare...

Persistent link: https://www.econbiz.de/10005440037

The role of initial values in nonstationary fractional time series models

Johansen, Søren; Nielsen, Morten Ørregaard - School of Economics and Management, University of Aarhus - 2012

We consider the nonstationary fractional model $\Delta^{d}X_{t}=\varepsilon _{t}$ with $\varepsilon_{t}$ i.i.d.$(0,\sigma^{2})$ and $d1/2$. We derive an analytical expression for the main term of the asymptotic bias of the maximum likelihood estimator of $d$ conditional on initial values, and we...

Persistent link: https://www.econbiz.de/10010851220

Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates

Han, Heejoon; Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2012

volatility equation are consistent and normally distributed in large samples independently of the degree of persistence. This … other hand, the intercept in the volatility equation is not identifi?ed when the covariate is non-stationary which is akin … with explosive volatility. …

Persistent link: https://www.econbiz.de/10010851299

Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets

Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - School of Economics and Management, University of Aarhus - 2014

. Moreover, spot and futures price data tend to display clear patterns of time-varying volatility which also has the potential to …

Persistent link: https://www.econbiz.de/10010886799

Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability

Bollerslev, Tim; Osterrieder, Daniela; Sizova, Natalia; … - School of Economics and Management, University of Aarhus - 2011

The dynamic dependencies in financial market volatility are generally well described by a long-memory fractionally … integrated process. At the same time, the volatility risk premium, defined as the difference between the ex-post realized … volatility and the market’s ex-ante expectation thereof, tends to be much less persistent and well described by a short …

Persistent link: https://www.econbiz.de/10009399368

Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood

Frederiksen, Per; Nielsen, Frank S. - School of Economics and Management, University of Aarhus - 2008

indeed there is long memory in exchange rate volatility and stock return volatility. …

Persistent link: https://www.econbiz.de/10005440038

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