We propose a new semiparametric estimator of the degree of persistence in volatility forlong memory stochastic volatility (LMSV) models. The estimator uses the periodogram ofthe log squared returns in a local Whittle criterion which explicitly accounts for the noise term in the LMSV model....

We consider semi parametric estimation of the long-memory parameter of a stationaryprocess in the presence of an additive nonparametric mean function. We use a semi parametric Whittle type estimator, applied to the tapered, differenced series. Since the mean function is not necessarily...

We consider processes with second order long range dependence resulting from heavytailed durations. We refer to this phenomenon as duration-driven long range dependence(DDLRD), as opposed to the more widely studied linear long range dependence based onfractional di erencing of an iid process. We...

We propose a new semiparametric estimator of the degree of persistence in volatility forlong memory stochastic volatility (LMSV) models. The estimator uses the periodogram ofthe log squared returns in a local Whittle criterion which explicitly accounts for the noise term in the LMSV model....

For long-memory time series, we show that the Toeplitz system sect;n(f)x = b can be solved inO(n log5=2 n) operations using a well-known version of the preconditioned conjugate gradient method, where sect;n(f) is the npound;n covariance matrix, f is the spectral density and b is a known vector....

We consider a common components model for multivariate fractional cointegration, in which the s cedil; 1 components have different memory parameters. The cointegrating rank is allowed to exceed 1. The true cointegrating vectors can be decomposed into orthogonal fractional cointegrating subspaces...

We establish sufficient conditions on durations that are stationary with finite variance and memory parameter d 2 [0; 1=2) to ensure that the corresponding counting process N(t) satisfies VarN(t) raquo; Ct2d+1 (C gt; 0) as t ! 1, with the same memory parameter d 2 [0; 1=2) that was assumed for the...

We study the effects of trade duration properties on dependence in counts (number of trans-actions) and thus on dependence in volatility of returns. A return model is established to link counts and volatility. We present theorems as well as a conjecture relating properties of durations to long...

We propose and derive the asymptotic distribution of a tapered narrow-band least squares estimator(NBLSE) of the cointegration parameter Atilde; Acirc; Atilde; Acirc;² in the framework of fractional cointegration.This tapered estimator is invariant to deterministic polynomial trends. In particular,...

We consider the asymptotic behavior of log-periodogram regression estimators ofthe memory parameter in long-memory stochastic volatility models, under the nullhypothesis of short memory in volatility. We show that in this situation, if theperiodogram is computed from the log squared returns,...