Several modified estimation methods of the memory parameter have been introduced in the past years. They aim to decrease the upward bias of the memory parameter in cases of low frequency contaminations or an additive noise component, especially in situations with a short-memory process being...

Several modified estimation methods of the memory parameter have been introduced in the past years. They aim to decrease the upward bias of the memory parameter in cases of low frequency contaminations or an additive noise component, especially in situations with a short-memory process being...

Several modified estimation methods of the memory parameter have been introduced in the past years. They aim to decrease the upward bias of the memory parameter in cases of low frequency contaminations or an additive noise component, especially in situations with a short-memory process being...

Econometric estimation using simulation techniques, such as the efficient method of moments, may betime consuming. The use of ordinary matrix programming languages such as Gauss, Matlab, Ox or S-plus will very often cause extra delay. For the Efficient Method of Moments implemented to...

We investigate a model in which we connect slowly time varying unconditional long-run volatility with short-run conditional volatility whose representation is given as a semi-strong GARCH (1,1) process with heavy tailed errors. We focus on robust estimation of both long-run and short-run...

A novel estimation method for two classes of semiparametric scalar diffusion models is proposed: In the first class, the diffusion term is parameterised and the drift is left unspecified, while in the second class only the drift term is specified. Under the assumption of stationarity, the...

Semi-parametric estimators for non-Gaussian GARCH processes based on Feasible Weighted Least Squares (FWLS) are proposed. The estimators are consistent and do not require the specification of the innovations distribution family. The FWLS estimators incorporate information related to the skewness...

The estimation and the analysis of long memory parameters have mainly focused on the analysis of long-range dependence in stock return volatility using traditional time and spectral domain estimators of long memory. The definitive ubiquity and existence of long memory in the volatility of stock...

A growing number of empirical studies provides evidence that dynamic properties of macroeconomic time series have been changing over time. Model-based procedures for the measurement of business cycles should therefore allow model parameters to adapt over time. In this paper the time dependencies...