In this paper we consider the Fractional Vector Error Correction model proposed in Avarucci (2007), which is characterized by a richer lag structure than models proposed in Granger (1986) and Johansen (2008, 2009). We discuss the identification issues of the model of Avarucci (2007), following...

This paper examines the limiting properties of the estimated parameters in the random field regression model recently proposed by Hamilton (Econometrica, 2001). Though the model is parametric, it enjoys the flexibility of the nonparametric approach since it can approximate a large collection of...

In this paper consistency and asymptotic normality of the quasi maximum like-lihood estimator in the level-effect ARCH model of Chan, Karolyi, Longstaff and Sanders (1992) is established. We consider explicitly the case where the parameters of the conditional heteroskedastic process are in the...

The no arbitrage relation between futures and spot prices implies an analogous relation between futures and spot volatilities as measured by daily range. Long memory features of the range-based volatility estimators of the two series are analyzed, and their joint dynamics are modeled via a...

In this paper we consider a fractionally cointegrated error correction model and investigate asymptotic properties of the maximum likelihood (ML) estimators of the matrix of the cointegration relations, the degree of fractional cointegration, the matrix of the speed of adjustment to the...