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Semiparametric estimation in perturbed long memory series
The estimation of the memory parameter in perturbed long memory series has recently attracted attention motivated especially by the strong persistence of the volatility in many financial and economic time series and the ...
Selection of the number of frequencies using bootstrap techniques in log-periodogram regression
The choice of the bandwidth in the local log-periodogram regression is of crucial importance for estimation of the memory parameter of a long memory time series. Different choices may give rise to completely different ...
Gaussian Semiparametric Estimation in Long Memory in Stochastic Volatility and Signal Plus Noise Models
This paper considers the persistence found in the volatility of many financial time series by means of a local Long Memory in Stochastic Volatility model and analyzes the performance of the Gaussian semiparametric or local ...