This paper discusses an estimation procedure for the spectral density of intrinsic time processes because there has been no argument of the spectral analysis for subordinated processes. Such processes have been proposed in a variety of contexts to describe asset price behavior. They are used...

We study the estimation of optimal portfolios for a Reserve Fund with an end-of-period target and when the returns of the assets that constitute the Reserve Fund portfolio follow two specifications. In the first one, assets are split into short memory (bonds) and long memory (equity), and the...

The conditional least squares (CL) estimators proposed by Tjostheim [1986. Estimation in nonlinear time series models. Stochastic Process. Appl. 21, 251-273] are important and fundamental. The CL estimator applied to the square-transformed ARCH model has an explicit form, which does not depend...