文章基本信息
- 标题：A Model for Long Memory Conditional Heteroscedasticity - (Now published in 'Annals of Applied Probability', 10 (2000), pp.1002-1024.)
- 本地全文：下载
- 作者：Liudas Giraitis ; Peter M Robinson ; Donatas Surgailis 等
- 期刊名称：Distributional Analysis Publications
- 印刷版ISSN：1352-2469
- 出版年度：2000
- 卷号：2000
- 出版社：Suntory Toyota International Centres for Economics and Related Disciplines
- 摘要：Lq Jludlwlv/ Urelqvrq/ dqg Vdpdury +4<<:,/ zh kdyh vkrzq wkdw wkh rswlpdo udwh iru phpru| sdudphwhu hvwlpdwruv lq vhplsdudphwulf orqj phpru| prghov zlwk ghjuhh ri *orfdo vprrwkqhvv* lv qu+,/ u+, @ @+5.4,/ dqg wkdw d orj0shulrgrjudp uhjuhvvlrq hvwlpdwru +d prglhg Jhzhnh dqg Sruwhu0Kxgdn +4<;6, hvwlpdwru, zlwk pd{lpxp iuhtxhqf| p @ p+, q5u+, lv udwh rswlpdo1 Wkh txhvwlrq zklfk zh dgguhvv lq wklv sdshu lv zkdw lv wkh ehvw rewdlqdeoh udwh zkhq lv xqnqrzq/ vr wkdw hvwlpdwruv fdqqrw ghshqg rq 1 Zh rewdlq d orzhu erxqg iru wkh dv|pswrwlf txdgudwlf ulvn ri dq| vxfk dgdswlyh hvwlpdwru/ zklfk wxuqv rxw wr eh odujhu wkdq wkh rswlpdo qrqdgdswlyh udwh qu+, e| d orjdulwkplf idfwru1 Zh wkhq frqvlghu d prglhg orj0shulrgrjudp uhjuhvvlrq hvwlpdwru edvhg rq wdshuhg gdwd dqg zlwk d gdwd0ghshqghqw pd{lpxp iuhtxhqf| p @ p+ a ,/ zklfk ghshqgv rq dq dgdswlyho| fkrvhq hvwlpdwru a ri / dqg vkrz/ xvlqj phwkrgv sursrvhg e| Ohsvnll +4<<3, lq dqrwkhu frqwh{w/ wkdw wklv hvwlpdwru dwwdlqv wkh orzhu erxqg xs wr d orjdulwkplf idfwru1 Rq rqh kdqg/ wklv phdqv wkdw wklv hvwlpdwru kdv qhduo| rswlpdo udwh dprqj doo dgdswlyh +iuhh iurp , hvwlpdwruv/ dqg/ rq wkh rwkhu kdqg/ lw vkrzv qhdu rswlpdolw| ri rxu gdwd0ghshqghqw fkrlfh ri wkh udwh ri wkh pd{lpxp iuhtxhqf| iru wkh prglhg orj0shulrgrjudp uhjuhvvlrq hvwlpdwru1 Wkh surriv frqwdlq uhvxowv zklfk duh dovr ri lqghshqghqw lqwhuhvw= rqh uhvxow vkrzv wkdw gdwd wdshulqj jlyhv d vljqlfdqw lpsuryhphqw lq dv|pswrwlf surshuwlhv ri fryduldqfhv ri glvfuhwh Irxulhu wudqvirupv ri orqj phpru| wlph vhulhv/ zkloh dqrwkhu jlyhv dq h{srqhqwldo lqhtxdolw| iru wkh prglhg orj0shulrgrjudp uhjuhvvlrq hvwlpdwru1
- 关键词：Orqj udqjh ghshqghqfh> vhplsdudphwulf prgho> udwhv ri frqyhujhqfh>;dgdswlyh edqgzlgwk vhohfwlrq1
