کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
6870030 | 681132 | 2014 | 20 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Infinite-order, long-memory heterogeneous autoregressive models
ترجمه فارسی عنوان
الگوهای بی نظیر، مدل های خودگردان ناهمگن طولانی مدت
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
نظریه محاسباتی و ریاضیات
چکیده انگلیسی
We develop an infinite-order extension of the HAR-RV model, denoted by HAR(â). We show that the autocorrelation function of the model is algebraically decreasing and thus the model is a long-memory model if and only if the HAR coefficients decrease exponentially. For a finite sample, a prediction is made using coefficients estimated by ordinary least squares (OLS) fitting for a finite-order model, HAR(p), say. We show that the OLS estimator (OLSE) is consistent and asymptotically normal. The approximate one-step-ahead prediction mean-square error is derived. Analysis shows that the prediction error is mainly due to estimation of the HAR(p) coefficients rather than to errors made in approximating HAR(â) by HAR(p). This result provides a theoretical justification for wide use of the HAR(3) model in predicting long-memory realized volatility. The theoretical result is confirmed by a finite-sample Monte Carlo experiment for a real data set.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 76, August 2014, Pages 339-358
Journal: Computational Statistics & Data Analysis - Volume 76, August 2014, Pages 339-358
نویسندگان
Eunju Hwang, Dong Wan Shin,