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This paper derives a semiparametric estimator of multivariate fractionally integrated processes covering both stationary and non-stationary values of d. We utilize the notion of the extended discrete Fourier transform and periodogram to extend the multivariate local Whittle estimator of Shimotsu...
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When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on … stochastic volatility. Estimation of the model delivers measures of daily variation outperforming their non …
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's dynamic properties may lead to misestimation of the intraday spot volatility. …
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