WEAK CONVERGENCE TO DERIVATIVES OF FRACTIONAL BROWNIAN MOTION

Autor: Søren Johansen, Morten Ørregaard Nielsen

Publikováno v: Johansen, S & Nielsen, M Ø 2022, ' Weak convergence to derivatives of fractional Brownian motion ', Econometric Theory . https://doi.org/10.1017/S0266466622000639
Johansen, S & Nielsen, M Ø 2023, ' WEAK CONVERGENCE TO DERIVATIVES OF FRACTIONAL BROWNIAN MOTION ', Econometric Theory, pp. 1-16 . https://doi.org/10.1017/S0266466622000639

It is well known that, under suitable regularity conditions, the normalized fractional process with fractional parameter d converges weakly to fractional Brownian motion (fBm) for $d>\frac {1}{2}$ . We show that, for any nonnegative integer M, deriva

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5ed94c9de926db15b08fffd78fbb56e7
https://doi.org/10.1017/s0266466622000639

Fractional Integration and Cointegration

Autor: Javier Hualde, Morten Ørregaard Nielsen

Publikováno v: Oxford Research Encyclopedia of Economics and Finance ISBN: 9780190625979

Fractionally integrated and fractionally cointegrated time series are classes of models that generalize standard notions of integrated and cointegrated time series. The fractional models are characterized by a small number of memory parameters that c

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::f00e30393a8e10e1e9ff15d922470386
https://doi.org/10.1093/acrefore/9780190625979.013.639

To infinity and beyond: Efficient computation of ARCH( ∞ ) models

Autor: Antoine L. Noël, Morten Ørregaard Nielsen

Publikováno v: Journal of Time Series Analysis. 42:338-354

This article provides an exact algorithm for efficient computation of the time series of conditional variances, and hence the likelihood function, of models that have an ARCH(∞) representation. This class of models includes, for example, the fracti

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::5154d97110a73ba9b6279cbf7519fcf8
https://doi.org/10.1111/jtsa.12570

Nearly Efficient Likelihood Ratio Tests of a Unit Root in an Autoregressive Model of Arbitrary Order

Autor: Samuel Brien, Morten Ørregaard Nielsen, Michael Jansson

Publikováno v: Brien, S, Jansson, M & Nielsen, M Ø 2022, ' Nearly Efficient Likelihood Ratio Tests of a Unit Root in an Autoregressive Model of Arbitrary Order ', Econometric Theory . https://doi.org/10.1017/S0266466622000652

We study large sample properties of likelihood ratio tests of the unit-root hypothesis in an autoregressive model of arbitrary order. Earlier research on this testing problem has developed likelihood ratio tests in the autoregressive model of order 1

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::22fff8b97b00bdc5eba8f7670c821b68
https://pure.au.dk/portal/da/publications/nearly-efficient-likelihood-ratio-tests-of-a-unit-root-in-an-autoregressive-model-of-arbitrary-order(041f7555-ae20-4c4d-81b6-2a62af4b6228).html

Adaptive Inference in Heteroscedastic Fractional Time Series Models

Autor: A. M. Robert Taylor, Morten Ørregaard Nielsen, Giuseppe Cavaliere

Publikováno v: Cavaliere, G, Nielsen, M Ø & Robert Taylor, A M 2022, ' Adaptive Inference in Heteroscedastic Fractional Time Series Models ', Journal of Business and Economic Statistics, vol. 40, no. 1, pp. 50-65 . https://doi.org/10.1080/07350015.2020.1773275

We consider estimation and inference in fractionally integrated time series models driven by shocks which can display conditional and unconditional heteroscedasticity of unknown form. Although the standard conditional sum-of-squares (CSS) estimator r

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::bc501847e43ee633cd2ce3bd83f60ea7