کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097604 | 1376598 | 2006 | 29 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting](/preview/png/5097604.png)
چکیده انگلیسی
We consider semiparametric frequency domain analysis of cointegration between long memory processes, i.e. fractional cointegration, allowing derivation of useful long-run relations even among stationary processes. The approach is due to Robinson (1994b. Annals of Statistics 22, 515-539) and uses a degenerating part of the periodogram near the origin to form a narrow-band frequency domain least squares (FDLS) estimator of the cointegrating relation, which is consistent for arbitrary short-run dynamics. We derive the asymptotic distribution theory for the FDLS estimator of the cointegration vector in the stationary long memory case, thus complementing Robinson's consistency result. An application to the relation between the volatility realized in the stock market and the associated implicit volatility derived from option prices is offered.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 133, Issue 1, July 2006, Pages 343-371
Journal: Journal of Econometrics - Volume 133, Issue 1, July 2006, Pages 343-371
نویسندگان
Bent Jesper Christensen, Morten Ãrregaard Nielsen,