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An Alternative Maximum Likelihood Estimator of Long-Memeory Processes Using Compactly Supported Wavelets

Jensen, Mark J. - EconWPA - 1997

In this paper we apply compactly supported wavelets to the ARFIMA(p,d,q) long-memory process to develop an alternative … of compactly supported wavelets, series length, and contamination by generating ARFIMA(p,d,q) processes for different …. In our simulations we find the wavelet MLE to be superior to the approximate MLE when estimating contaminated ARFIMA(0,d …

Persistent link: https://www.econbiz.de/10005407968

Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter

Jensen, Mark J. - EconWPA - 1997

We develop an ordinary least squares estimator of the long memory parameter from a fractionally integrated process that is an alternative to the Geweke Porter-Hudak estimator. Using the wavelet transform from a fractionally integrated process, we establish a log-linear relationship between the...

Persistent link: https://www.econbiz.de/10005407950

Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models

Hillebrand, Eric - EconWPA - 2003

A common finding in the empirical literature is that financial volatility exhibits high persistence, or slow mean reversion of the order of months. We present evidence that financial volatility data contains more than a single time scale. After showing that the expectation of the sum of the...

Persistent link: https://www.econbiz.de/10005119104

A Single-Blind Controlled Competition among Tests for Nonlinearity and Chaos

Barnett, William A.; Gallant, A. Ronald; Hinich, Melvin J. - EconWPA - 1996

This is the FINAL draft of this paper reporting the results of a long ongoing competition. The paper now is forthcoming in the Journal of Econometrics. This final version replaces the earlier draft that was also in this archive. Interest has been growing in testing for nonlinearity or chaos in...

Persistent link: https://www.econbiz.de/10005407944

Testing and Estimating Persistence in Canadian Unemployment.

Mikhail, Ossama; Eberwein, Curtis J.; Handa, Jagdish - EconWPA - 2003

framework of Bayesian ARFIMA class of models. The results conclude that Canadian unemployment exhibits persistence in the short …

Persistent link: https://www.econbiz.de/10005062535

Measurement of Financial Risk Persistence

Los, Cornelis A. - EconWPA - 2005

This paper discusses various ways of measuring the persistence or Long Memory (LM) of financial market risk in both its time and frequency domains. For the measurement of the risk, irregularity or 'randomness' of these series, we can compute a set of critical Lipschitz - Hölder exponents, in...

Persistent link: https://www.econbiz.de/10005561591

Do Chinese stock markets share common information arrival processes?

Kostov, Philip; Wu, Ziping; McErlean, Seamus - EconWPA - 2004

long memory. This paper uses fractionally integrated GARCH (FIGARCH) to test and account for long memory. The analysis …

Persistent link: https://www.econbiz.de/10005407887

An Approximate Wavelet MLE of Short and Long Memory Parameters

Jensen, Mark J. - EconWPA - 1998

approximate an ARFIMA models likelihood function with the series wavelet coefficients and their variances. Maximization of this … likelihood estimator of the ARFIMA model. By simultaneously maximizing the likelihood function over both the short and long … invertible parameter region of the ARFIMA model's moving average parameter, whereas the frequency-domain MLE dramatically …

Persistent link: https://www.econbiz.de/10005119098

The long memory story of ex post real interest rates. Can it be supported?

Venetis, Ioannis A.; Duarte, Agustin; Paya, Ivan - EconWPA - 2004

This papers finds evidence of fractional integration for a number of monthly ex post real interest rate series using the GPH semiparametric estimator on data from fourteen European countries and the US. However, we pose empirical questions on certain time series requirements that emerge from...

Persistent link: https://www.econbiz.de/10005407898

Estimation of mis-specified long memory models

Chen, Willa; Deo, Rohit - EconWPA - 2005

We study the asymptotic behaviour of frequency domain maximum likelihood estimators of mis-specified models of long memory Gaussian series. We show that even if the long memory structure of the time series is correctly specified, mis-specification of the short memory dynamics may result in...

Persistent link: https://www.econbiz.de/10005556354