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Inference on the long-memory properties of time series with non-stationary volatility

Publikation: Beitrag in Fachzeitschrift › Artikel › Forschung › Peer-Review

Autorschaft

  • Matei Demetrescu
  • Philipp Sibbertsen

Organisationseinheiten

Externe Organisationen

  • Christian-Albrechts-Universität zu Kiel (CAU)
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Details

OriginalspracheEnglisch
Seiten (von - bis)80-84
Seitenumfang5
FachzeitschriftEconomics letters
Jahrgang144
Frühes Online-Datum4 Mai 2016
PublikationsstatusVeröffentlicht - Juli 2016

Abstract

Time-varying volatility is often present in time series data and can have adverse effects when inferring about the persistence properties of examined series. This note analyzes the effects of such nonstationarity on periodogram-based inference for the fractional integration parameter. Based on asymptotic arguments and Monte Carlo simulations, we show that the log-periodogram regression estimator remains consistent, but has asymptotic distribution whose variance depends on the variation of the volatility of the series.

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Inference on the long-memory properties of time series with non-stationary volatility. / Demetrescu, Matei; Sibbertsen, Philipp.
in: Economics letters, Jahrgang 144, 07.2016, S. 80-84.

Publikation: Beitrag in Fachzeitschrift › Artikel › Forschung › Peer-Review

Demetrescu M, Sibbertsen P. Inference on the long-memory properties of time series with non-stationary volatility. Economics letters. 2016 Jul;144:80-84. Epub 2016 Mai 4. doi: 10.1016/j.econlet.2016.04.034
Demetrescu, Matei ; Sibbertsen, Philipp. / Inference on the long-memory properties of time series with non-stationary volatility. in: Economics letters. 2016 ; Jahrgang 144. S. 80-84.
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