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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

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

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

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

A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic

Nielsen, Morten Ørregaard - School of Economics and Management, University of Aarhus - 2008

This paper presents a family of simple nonparametric unit root tests indexed by one parameter, d, and containing Breitung’s (2002) test as the special case d = 1. It is shown that (i) each member of the family with d 0 is consistent, (ii) the asymptotic distribution depends on d, and thus...

Persistent link: https://www.econbiz.de/10005198866

The impact of financial crises on the risk-return tradeoff and the leverage effect

Christensen, Bent Jesper; Nielsen, Morten Ørregaard; … - School of Economics and Management, University of Aarhus - 2012

stock return data, which includes both features and allows the co-existence of long memory in volatility and short memory in … returns. We extend this model to allow the financial parameters governing the volatility-in-mean effect and the leverage …

Persistent link: https://www.econbiz.de/10010851216

Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model

Christensen, Bent Jesper; Nielsen, Morten Ørregaard; … - School of Economics and Management, University of Aarhus - 2007

in return volatility of Bollerslev and Mikkelsen (1996) by introducing a possible volatility-in-mean effect. To avoid … that the long memory property of volatility carries over to returns, we consider a filtered FIEGARCH-in-mean (FIEGARCH …-M) effect in the return equation. The filtering of the volatility-in-mean component thus allows the co-existence of long memory …

Persistent link: https://www.econbiz.de/10005034729

Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration

Nielsen, Morten Ørregaard; Frederiksen, Per - School of Economics and Management, University of Aarhus - 2010

We consider estimation of the cointegrating relation in the weak fractional cointegration model, where the strength of the cointegrating relation (difference in memory parameters) is less than one-half. A special case is the stationary fractional cointegration model, which has found important...

Persistent link: https://www.econbiz.de/10008462022

Local polynomial Whittle estimation of perturbed fractional processes

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

investigation of the 30 DJIA stocks shows that this estimator indicates stronger persistence in volatility than the standard local …

Persistent link: https://www.econbiz.de/10005787547

A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching

Haldrup, Niels; Nielsen, Frank S.; Nielsen, Morten … - School of Economics and Management, University of Aarhus - 2007

A regime dependent VAR model is suggested that allows long memory (fractional integration) in each of the regime states as well as the possibility of fractional cointegra- tion. The model is relevant in describing the price dynamics of electricity prices where the transmission of power is...

Persistent link: https://www.econbiz.de/10005440060