Log-Periodogram Estimation Of Long Memory Volatility Dependencies With Conditionally Heavy Tailed Returns

Log-periodogram regression in asymmetric long memory

On the Log Periodogram Regression Estimator of the Memory Parameter in Long Memory Stochastic Volatility Models

We consider semiparametric estimation of the memory parameter in a long memory stochastic volatility model+ We study the estimator based on a log periodogram regression as originally proposed by Geweke and Porter-Hudak ~1983, Journal of Time Series Analysis 4, 221–238!+ Expressions for the asymptotic bias and variance of the estimator are obtained, and the asymptotic distribution is shown to be...

Wavelet Transform for Log Periodogram Regression in Long Memory Stochastic Volatility Model

We consider semiparametric log periodogram regression estimation of memory parameter for the latent process in long memory stochastic volatility models. It is known that though widely used among researchers, the Geweke and Porter-Hudak (1983; GPH) LP estimator violates the Gaussian or Martingale assumption, which results in significant negative bias due to the existence of the spectrum of non-G...

Filtered Log-periodogram Regression of long memory processes

Filtered log-periodogram regression estimation of the fractional differencing parameter d is considered. Asymptotic properties are derived and the effect of filtering on d̂ is investigated. It is shown that the estimator by Geweke and Porter-Hudak (1983) can be improved significantly using a simple family of filters. The essential improvement is based on a binary decision that is asymptotically ...

Averaged periodogram spectral estimation with long memory conditional heteroscedasticity

The empirical relevance of long memory conditional heteroscedasticity has emerged in a variety of studies of long time series of high frequency nancial measurements. A reassessment of the applicability of existing semiparametric frequency domain tools for the analysis of time dependence and long run behaviour of time series is therefore warranted. To that end, this paper analyses the averaged p...