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Spectral Properties of Stationary Models

Marek, Luboš - In: Acta Oeconomica Pragensia 2007 (2007) 1, pp. 63-70

density and autocorrelation function of these stationary models. The spectrum has the typical shape for different models. This … shape depends on sign of parameters. On other side, from shape of spectrum we cannot derive the accurate type of model …, because the different models have the similar shape of spectrum. But the shape of spectrum is very important complementary …

Persistent link: https://www.econbiz.de/10005036431

Lag order selection for an optimal autoregressive covariance matrix estimator

Morales, Marco - In: Journal of Applied Statistics 37 (2010) 5, pp. 739-748

A good parametric spectral estimator requires an accurate estimate of the sum of AR coefficients, however a criterion which minimizes the innovation variance not necessarily yields the best spectral estimate. This paper develops an alternative information criterion considering the bias in the...

Persistent link: https://www.econbiz.de/10008674913

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 1988

This paper is concerned with the estimation of covariance matrices in the presence of heteroskedasticity and autocorrelation of unknown forms. Currently available estimators that are designed for this context depend upon the choice of a lag truncation parameter and a weighting scheme. No results...

Persistent link: https://www.econbiz.de/10005762692

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

A frequency domain bootstrap for Whittle estimation under long-range dependence

Kim, Young Min; Nordman, Daniel J. - In: Journal of Multivariate Analysis 115 (2013) C, pp. 405-420

Whittle estimation is a common technique for fitting parametric spectral density functions to time series, in an effort to model the underlying covariance structure. However, Whittle estimators from long-range dependent processes can exhibit slow convergence to their Gaussian limit law so that...

Persistent link: https://www.econbiz.de/10010608102

Error Bounds and Asymptotic Expansions for Toeplitz Product Functionals of Unbounded Spectra

Lieberman, Offer; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2002

This paper establishes error orders for integral limit approximations to traces of powers to the pth order) of products of Toeplitz matrices. Such products arise frequently in the analysis of stationary time series and in the development of asymptotic expansions. The elements of the matrices are...

Persistent link: https://www.econbiz.de/10005593375

Long Run Covariance Matrices for Fractionally Integrated Processes

Phillips, Peter C.B.; Kim, Chang Sik - Cowles Foundation for Research in Economics, Yale University - 2007

An asymptotic expansion is given for the autocovariance matrix of a vector of stationary long-memory processes with memory parameters d satisfying 0 < d < 1/2. The theory is then applied to deliver formulae for the long run covariance matrices of multivariate time series with long memory.

Persistent link: https://www.econbiz.de/10005463993

ROBUST COVARIANCE MATRIX ESTIMATION: "HAC" Estimates with Long Memory/Antipersistence Correction

Robinson, Peter M - Suntory and Toyota International Centres for Economics … - 2004

Persistent link: https://www.econbiz.de/10005670815

Why Aggregate Long Memory Time Series?

Souza, Leonardo Rocha - In: Econometric Reviews 27 (2008) 1-3, pp. 298-316

This article shows that, for large samples, temporally aggregating a true long memory time series (in order to get an improved estimator) may make little or no sense, as the practitioner can get virtually the same estimates as those from the aggregated series by choosing the appropriate...

Persistent link: https://www.econbiz.de/10005511884

Modeling volatility risk in equity options market : a statistical approach

Dobi, Doris; Avellaneda, Marco - In: Options - 45 years since the publication of the …, (pp. 257-292). 2023

Persistent link: https://www.econbiz.de/10014366655

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