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...

We consider the nonstationary fractional model dXt = "t with "t i.i.d.(0;2) and d 1/2. 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 discuss the role of the initial values for the bias....

This paper discusses model-based inference in an autoregressive model for fractional processes which allows the process to be fractional of order d or d-b. Fractional differencing involves infinitely many past values and because we are interested in nonstationary processes we model the data...

In regression we can delete outliers based upon a preliminary estimator and re-estimate the parameters by least squares based upon the retained observations. We study the properties of an iteratively defined sequence of estimators based on this idea. We relate the sequence to the Huber-skip...

We derive the optimal hedging ratios for a portfolio of assets driven by a Cointegrated Vector Autoregressive model with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model that allows for the hedges to be cointegrated with the hedged...

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 q≥2 and q1/(d+1/2)...

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...

We discuss the moment condition for the fractional functional central limit theorem (FCLT) for partial sums of x(t)=Δ^(-d)u(t), where d є (-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 of the...