Local polynomial Whittle estimation of perturbed fractional processes

Autor: Frederiksen, Per, Nielsen, Frank S., Nielsen, Morten Ørregaard

Publikováno v: In Journal of Econometrics April 2012 167(2):426-447

CONTINUOUS-TIME MODELS, REALIZED VOLATILITIES, AND TESTABLE DISTRIBUTIONAL IMPLICATIONS FOR DAILY STOCK RETURNS

Autor: ANDERSEN, TORBEN G., BOLLERSLEV, TIM, FREDERIKSEN, PER, NIELSEN, MORTEN ØRREGAARD

Publikováno v: Journal of Applied Econometrics, 2010 Mar 01. 25(2), 233-261.

Externí odkaz: https://www.jstor.org/stable/40607018

Finite sample accuracy and choice of sampling frequency in integrated volatility estimation

Autor: Nielsen, Morten Ørregaard, Frederiksen, Per

Publikováno v: In Journal of Empirical Finance 2008 15(2):265-286

Comment

Autor: Andersen, Torben G., Bollerslev, Tim, Frederiksen, Per Houmann, Nielsen, Morten Orregaard

Publikováno v: Journal of Business and Economic Statistics. 24:173-179

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=od_______645::a4ed45015180383967362648f47151f6
http://www.ingentaconnect.com/content/asa/jbes/2006/00000024/00000002/art00004

Local polynomial Whittle estimation of perturbed fractional processes

Autor: Frederiksen, Per, Nielsen, Frank, Nielsen, Morten Ørregaard

Publikováno v: Frederiksen, P, Nielsen, F & Nielsen, M Ø 2008 ' Local polynomial Whittle estimation of perturbed fractional processes ' Institut for Økonomi, Aarhus Universitet, Aarhus .

We propose a semiparametric local polynomial Whittle with noise (LPWN) estimator of thememory parameter in long memory time series perturbed by a noise term which may be seriallycorrelated. The estimator approximates the spectrum of the perturbation

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::47c9687125fcb9b301da46447657f7f0
https://hdl.handle.net/10419/67875