Improving estimation of the fractionally differencing parameter in the SARFIMA model using tapered periodogram
Xunyu Ye, Ping Gao, Handong Li (Department of Management Science and Engineering, Beijing Normal University, China)
| Year of publication: |
April 2015
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|---|---|
| Authors: | Ye, Xunyu ; Gao, Ping ; Li, Handong |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 46.2015, p. 167-179
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| Subject: | Long memory models | Seasonality | Tapered periodogram | Monte Carlo study | Intraday volume | High-frequency volatility | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Monte-Carlo-Simulation | Monte Carlo simulation | ARMA-Modell | ARMA model | Schätztheorie | Estimation theory | Börsenkurs | Share price | Saisonale Schwankungen | Seasonal variations |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2014.11.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011436579