This paper proposes new estimators for the daily return variance which are based on common intraday statistics (opening, high, low, and closing prices). These estimators utilize information contained in products of absolute values of uncorrelated intraday statistics. An empirical study of nine...

A Monte Carlo study is undertaken to analyze the small sample properties of two time domain and two frequency domain estimators for low order autoregressive fractionally integrated moving average Gaussian models, ARFIMA (p,d,q). More specifically (1,0,0), (0,0,1), (0,d,0), various (2,0,0),...

A Monte Carlo study is undertaken to analyze the small sample properties of two time domain and two frequency domain estimators for low order autoregressive fractionally integrated moving average Gaussian models, ARFIMA (p,d,q). More specifically (1,0,0), (0,0,1), (0,d,0), various (2,0,0),...

The finite sample properties of three semiparametric estimators, several versions of the modified rescaled range, MRR, and three versions of the GHURST estimators are investigated. Their power and size for testing for long memory under short-run effects, joint short and long-run effects,...

For typical sample sizes occurring in economic and financial applications, the squared bias of estimators for the memory parameter is small relative to the variance. Smoothing is therefore a suitable way to improve the performance in terms of the mean squared error. However, in an analysis of...