Testing for Long Memory in Potentially Nonstationary Perturbed Fractional Processes
Download or Read eBook Testing for Long Memory in Potentially Nonstationary Perturbed Fractional Processes PDF written by Frank Nielsen and published by . This book was released on 2008 with total page 53 pages. Available in PDF, EPUB and Kindle.
Author | : Frank Nielsen |
Publisher | : |
Total Pages | : 53 |
Release | : 2008 |
ISBN-10 | : OCLC:1290293484 |
ISBN-13 | : |
Rating | : 4/5 (84 Downloads) |
Book Synopsis Testing for Long Memory in Potentially Nonstationary Perturbed Fractional Processes by : Frank Nielsen
Book excerpt: In this paper, we propose new tests for long memory in stationary and nonstationary time series possibly perturbed by short-run noise which may be serially correlated. The tests are all based on semiparametric estimators and exploit the self-similarity property of long memory processes. We offer simulation results that show good size properties of the tests, with power against spurious long memory. An empirical study of daily log-squared returns series of exchange rates and DJIA30 stocks shows that indeed there is long memory in exchange rate volatility and stock return volatility.