J ul 2 00 6 Polynomial Cointegration among Stationary Processes with Long Memory ∗
نویسنده
چکیده
In this paper we consider polynomial cointegrating relationships among stationary processes with long range dependence. We express the regression functions in terms of Hermite polynomials and we consider a form of spectral regression around frequency zero. For these estimates, we establish consistency by means of a more general result on continuously averaged estimates of the spectral density matrix at frequency zero.
منابع مشابه
An empirical model of fractionally cointegrated daily high and low stock market prices ¬リニ
a r t i c l e i n f o Keywords: Fractional cointegration Long memory Range Volatility Daily high and low prices This work provides empirical support for the fractional cointegration relationship between daily high and low stock prices, allowing for the non-stationary volatility of stock market returns. The recently formalized fractionally cointegrated vector autoregressive (VAR) model is employ...
متن کاملWavelet Method for Locally Stationary Seasonal Long Memory Processes
Long memory processes have been extensively studied over the past decades. When dealing with the financial and economic data, seasonality and time-varying long-range dependence can often be observed and thus some kind of non-stationarity can exist inside financial data sets. To take into account this kind of phenomena, we propose a new class of stochastic process: the locally stationary k−facto...
متن کاملWavelet Estimation of the Long Memory Parameter for Hermite Polynomial of Gaussian Processes
We consider stationary processes with long memory which are non–Gaussian and represented as Hermite polynomials of a Gaussian process. We focus on the corresponding wavelet coefficients and study the asymptotic behavior of the sum of their squares since this sum is often used for estimating the long–memory parameter. We show that the limit is not Gaussian but can be expressed using the non–Gaus...
متن کاملCointegration from a Pure-Jump Transaction-Level Price Model
We propose a new transaction-level bivariate log-price model, which yields fractional or standard cointegration. To the best of our knowledge, all existing models for cointegration require the choice of a fixed sampling interval ∆t. By contrast, our proposed model is constructed at the transaction level, thus determining the properties of returns at all sampling frequencies. The two ingredients...
متن کاملA case study of the residual-based cointegration procedure
The study of long-run equilibrium processes is a significant component of economic and finance theory. The Johansen technique for identifying the existence of such long-run stationary equilibrium conditions among financial time series allows the identification of all potential linearly independent cointegrating vectors within a given system of eligible financial time series. The practical appli...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2008