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Testing for long memory in potentially nonstationary perturbed fractional processes

Frederiksen, Per; Nielsen, Frank S. - In: Journal of financial econometrics : official journal of … 12 (2014) 2, pp. 329-381

Persistent link: https://www.econbiz.de/10010351544

Estimation of impulse response functions when shocks are observed at a higher frequency than outcome variables

Chudik, Alexander; Georgiadis, Georgios - 2019

This paper proposes mixed-frequency distributed-lag (MFDL) estimators of impulse response functions (IRFs) in a setup where (i) the shock of interest is observed, (ii) the impact variable of interest is observed at a lower frequency (as a temporally aggregated or sequentially sampled variable),...

Persistent link: https://www.econbiz.de/10012058985

Temporal aggregation and long memory for asset price volatility

Perron, Pierre; Shi, Wendong - In: Journal of risk and financial management : JRFM 13 (2020) 8/182, pp. 1-18

asset price volatility. We show how the squared low-frequency returns can be expressed in terms of the temporal aggregation … properties of the spectral density function of realized volatility series, constructed from squared returns with different … new features of volatility in financial market indices. The theoretical findings are illustrated via the analysis of both …

Persistent link: https://www.econbiz.de/10012321959

Holding Period Return-Risk Modeling: Ambiguity in Estimation

Hallerbach, Winfried - Erasmus Research Institute of Management (ERIM), … - 2003

compared to starting in July, and a difference of almost 7 (!) percentage points in estimated annual volatility. This is yet …

Persistent link: https://www.econbiz.de/10010731517

Conditionally Efficient Estimation of Long-run Relationships Using Mixed-frequency Time Series

Miller, J. Isaac - Economics Department, University of Missouri - 2011

I analyze efficient estimation of a cointegrating vector when the regressand is observed at a lower frequency than the regressors. Previous authors have examined the effects of specific temporal aggregation or sampling schemes, finding conventionally efficient techniques to be efficient only...

Persistent link: https://www.econbiz.de/10009019136

Estimation of temporally aggregated multivariate GARCH models

Hafner, Christian Matthias; Rombouts, J.V.K. - Faculteit der Economische Wetenschappen, Erasmus … - 2004

This paper investigates the performance of quasi maximum likelihood (QML) and nonlinear least squares (NLS) estimation applied to temporally aggregated GARCH models. Since these are known to be only weak GARCH, the conditional variance of the aggregated process is in general not known. Thus, one...

Persistent link: https://www.econbiz.de/10010837845

Estimation of temporally aggregated multivariate GARCH models

HAFNER, Christian; ROMBOUTS, Jeroen - Center for Operations Research and Econometrics (CORE), … - 2003

Persistent link: https://www.econbiz.de/10005043585

A persistence‐based Wold‐type decomposition for stationary time series

Ortu, Fulvio; Severino, Federico; Tamoni, Andrea; … - In: Quantitative economics : QE ; journal of the … 11 (2020) 1, pp. 203-230

This paper shows how to decompose weakly stationary time series into the sum, across time scales, of uncorrelated components associated with different degrees of persistence. In particular, we provide an Extended Wold Decomposition based on an isometric scaling operator that makes averages of...

Persistent link: https://www.econbiz.de/10012202240

Asymptotic forecasting error evaluation for estimated temporally aggregated linear processes

Grigoryeva, Lyudmila; Ortega, Juan-Pablo - In: International journal of computational economics and … 5 (2015) 3, pp. 289-318

Persistent link: https://www.econbiz.de/10011413834

Estimation of continuous and discrete time co-integrated systems with stock and flow variables

González Olivares, Daniel; Guizar, Isai - In: Journal of time series econometrics 13 (2021) 2, pp. 145-186

Persistent link: https://www.econbiz.de/10012612767