We propose a semiparametric local polynomial Whittle with noise estimator of the memory parameter in long memory time series perturbed by a noise term which may be serially correlated. The estimator approximates the log-spectrum of the short-memory component of the signal as well as that of the...

A regime dependent VAR model is suggested that allows long memory (fractional integration) in each of the observed regime states as well as the possibility of fractional cointegration. The model is motivated by the dynamics of electricity prices where the transmission of power is subject to...

We consider the properties of three estimation methods for integrated volatility, i.e. realized volatility, Fourier, and wavelet estimation, when a typical sample of high-frequency data is observed. We employ several different generating mechanisms for the instantaneous volatility process, e.g....

We provide an empirical framework for assessing the distributional properties of daily speculative returns within the context of the continuous-time jump diffusion models traditionally used in asset pricing finance. Our approach builds directly on recently developed realized variation measures...

We propose to use a variant of the local polynomial Whittle estimator to estimate the memory parameter in volatility for long-memory stochastic volatility models with potential nonstationarity in the volatility process. We show that the estimator is asymptotically normal and capable of obtaining...