文章基本信息
- 标题:Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility
- 本地全文:下载
- 作者:Matei Demetrescu ; Philipp Sibbertsen
- 期刊名称:Diskussionspapiere / Universität Hannover
- 印刷版ISSN:0949-9962
- 出版年度:2014
- 卷号:2014
- 出版社:Hannover
- 摘要:Mtioannayltoinmee.sBeuritessuexhibitunonditionaAlbhsetterraostkedastiity,ofteninadd‡itiontoondi-raitnahrftieethyreeortnneastedtrsvaierspyrosg,esutsaheerissasenintsthuesneltwldiomdhtiieefstn-thtvreaiainbkrfyuieanitrsngireoginnpivngsroodalstabeettapoitteluiiinvottydneitiaonasrfgyptteiohaorneusnitstdsohtaraeetesnagssrogeie-m;esnseapi.elogllreen.adsuta,insvnaiagtunrsirpdaionrnoogtoereWarspneshrdotitsalyetnlaess.thtiizaoaOevnndne-- darderors(whipvTarhoreyiepnsagspevse.orlCeaxtoipnliltoyrre,hetsaeanltryhde,eewaminenapdlluyiosezyneeudtsehsaeohnfoyetwwiematyoets-tmvooaofdrdyseeuianllglwovnitoghlamtoielnmitdyoitroiyonninfarlathhteeitopenrreaoslslekyneidneatsoetfgirtaiimttyee)d-.inferentialproeduresforthefrationalintegrathionnopnasrtaamtioetnearr.itByaosnedseovneraaslymexpisttoitnigatorgrsu,msuentsandMonteCarlosimulations,weshowthatperiodogram-basedestima-onsistenht,absutthhealvoeaaslyWmhpittottleiorthelog-periodogramregresionestimator,remainvparolidliet.yiTfiWmhe-itdeomstaainnd,arredgreersrosirosdnai-sbrtearisubesudetdito.ensFstisnwafhololrys,efrtvahaetriimoannoadelidineedtpeegrnaradntsgieoo-nnstraheleetavsiatnarittaihsnetiierisonlyaetediftheseriesrequireadjustmentfordeterministiTime-varyingvariane,HeteroMskoedKduaelsayttiewditoypr,drPoseersssistene,Fratioomnaploinnetnetgsr