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Modelling memory of economic and financial time series

Robinson, Peter - London School of Economics (LSE) - 2005

Much time series data are recorded on economic and financial variables. Statistical modelling of such data is now very well developed, and has applications in forecasting. We review a variety of statistical models from the viewpoint of ‘memory’, or strength of dependence across time, which...

Persistent link: https://www.econbiz.de/10010928635

The memory of stochastic volatility models

Robinson, Peter M. - London School of Economics (LSE) - 2001

Persistent link: https://www.econbiz.de/10010746529

A GARCH model of the implied volatility of the Swiss Market Index from options prices

Linton, Oliver; Sabbatini, Michael - London School of Economics (LSE) - 2004

This paper estimates the implied stochastic process of the volatility of the Swiss market index (SMI) from the prices of options written on it. A GARCH(1,1) model is shown to be a good parameterization of the process. Then, using the GARCH option pricing model of Duan (1991), the implied...

Persistent link: https://www.econbiz.de/10010746119

Semiparametric estimation of locally stationary diffusion models

Koo, Bonsoo; Linton, Oliver - London School of Economics (LSE) - 2010

quantities based on long span data. Our estimation method makes use of the local stationarity. We establish asymptotic theory for …

Persistent link: https://www.econbiz.de/10011126569

Determination of cointegrating rank in fractional systems

Robinson, Peter; Yajima, Yoshihiro - London School of Economics (LSE) - 2001

This paper develops methods of investigating the existence and extent of cointegration in fractionally integrated systems. We focus on stationary series, with some discussion of extension to nonstationarity. The setting is semiparametric, so that modelling is effectively confined to a...

Persistent link: https://www.econbiz.de/10010745024

Conditional-sum-of-squares estimation of models for stationary time series with long memory

Robinson, Peter - London School of Economics (LSE) - 2006

) estimates of parametric models for stationary time series with long memory. CSS estimation has been considered as a rival to … Gaussian maximum likelihood and Whittle estimation of time series models. The latter kinds of estimate have been rigorously … infinite autoregressive representation inherent in CSS estimation has been essentially ignored in proofs of asymptotic …

Persistent link: https://www.econbiz.de/10010745068

Edgeworth expansions for semiparametric Whittle estimation of long memory

Giraitis, L.; Robinson, P.M. - London School of Economics (LSE) - 2003

, one of order m-1/2 (where m is the bandwidth number in the estimation), the other a bias term, which increases in m …

Persistent link: https://www.econbiz.de/10010745104

Semiparametric inference in seasonal and cyclical long memory processes

Arteche, Josu; Robinson, Peter M. - London School of Economics (LSE) - 1998

Persistent link: https://www.econbiz.de/10010745134

LARCH, leverage and long memory

Giraitis, Liudas; Leipus, Remigijus; Robinson, Peter M.; … - London School of Economics (LSE) - 2003

We consider the long memory and leverage properties of a model for the conditional variance of an observable stationary sequence, where the conditional variance is the square of an inhomogeneous linear combination of past values of the observable sequence, with square summable weights. This...

Persistent link: https://www.econbiz.de/10010745453

Robust covariance matrix estimation : HAC estimates with long memory/antipersistence correction

Robinson, Peter M. - London School of Economics (LSE) - 2004

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