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  • 标题:Robust Estimation of the Memory Parameter
  • 本地全文:下载
  • 作者:Erhard Reschenhofer ; Thomas Stark ; Manveer K. Mangat
  • 期刊名称:Journal of Statistical and Econometric Methods
  • 印刷版ISSN:2241-0384
  • 电子版ISSN:2241-0376
  • 出版年度:2020
  • 卷号:9
  • 期号:4
  • 页码:53-86
  • 语种:English
  • 出版社:Scienpress Ltd
  • 摘要:Recent studies have found indications oflong-range dependence in financial time series and used conventional,non-robust estimates of the memory parameter, which measures the degree oflong-range dependence, for the calculation of buy and sell signals. In thispaper, new robust estimators are proposed which are possibly more appropriatefor financial data. The new estimators are compared with various robust andnon-robust competitors by means of extensive simulations. In addition toadditive outliers and heavy-tailed distributions, also conditional heteroscedasticity is considered. The results show that the robust estimatorsdo not generally deliver better results than the conventional estimators butonly in special cases, the existing robust estimators with respect to theroot-mean-square error and the new robust estimators with respect to the bias.Finally, the different estimators are used to investigate possible long-rangedependence both in developed and developing stock markets.  The results of this empirical study suggestthat long-range dependence is present only in the volatility and is thereforeof no use for directional forecasting and trading.
  • 关键词:Long-range dependence; Frequency-domain estimation;Periodogram; Truncated F-distribution; Volatility; Stock markets.
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