The effect of tapering on the semiparametric estimators for nonstationary long memory processes

Autor: Velayoudom Marimoutou, Mohamed Boutahar, Leïla Nouira

Publikováno v: Statistical Papers. 50:225-248

In this paper, we study, by a Monte Carlo simulation, the effect of the order p of “Zhurbenko-Kolmogorov” taper on the asymptotic properties of semiparametric estimators. We show that p = [d + 1/2] + 1 gives the smallest variances and mean square

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::2a91e1bb223025fdb02a4f89489db389
https://doi.org/10.1007/s00362-007-0071-6

Long-memory and shifts in the unconditional variance in the exchange rate euro/US dollar returns

Autor: Ibrahim Ahamada, Jamel Jouini, Alain Nurbel, Leïla Nouira

Publikováno v: Applied Economics Letters
Applied Economics Letters, 2004, 11 (9), pp.591-594. ⟨10.1080/1350485042000230733⟩
Applied Economics Letters, Taylor & Francis (Routledge): SSH Titles, 2004, 11 (9), pp.591-594

http://search.ebscohost.com/login.aspx?direct=true&db=bth&AN=13929098&site=ehost-live; International audience; In this paper two characteristics a priori contradictory and yet coexistent in the daily returns of exchange rate euro/US dollar are drawn.

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::84970d4fd8141f670c440234a3735edc
https://doi.org/10.1080/1350485042000230733

Long-memory and shifts in the unconditional variance in the exchange rate euro/US dollar returns.

Autor: Nouira, Leïla (AUTHOR), Ahamada, Ibrahim (AUTHOR), Jouini *, Jamel (AUTHOR), Nurbel, Alain¹ (AUTHOR)

Publikováno v: Applied Economics Letters. 7/15/2004, Vol. 11 Issue 9, p591-594. 4p.