Local Polynomial Whittle Estimation of Perturbed Fractional Processes

By Per Frederiksen, Frank Nielsen, Morten Ørregaard Nielsen. 2008

53 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/149c857b0924122f83f105d3917dc390ab98c851

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Jie Hou
2. Pierre Perron
3. Muhammad Shahbaz
4. Dukpa Kim
5. Alan M. Taylor
6. S. Leybourne
7. Tomoyoshi Yabu
8. David I. Harvey

In Finance

1. Jie Hou
2. Pierre Perron
3. Zhongjun Qu
4. Dukpa Kim
5. Serena Ng
6. Tomoyoshi Yabu

Citations in the corpus

• MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS (2013, unknown): “Garcia and Perron (1996) find the presence of large level shifts in U.S. real interest rate series. Qu (2011) rejects the null hypothesis that a U.”
• Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations (2014, methodology): “It adopts techniques used in Andrews and Sun (2004), Hurvich et al. (2005) and Frederiksen et al. (2012) to introduce additive terms in the frequency domain quasi maximum likelihood function to capture the effect of the low frequency contaminations, based on results of Perron and Qu (2010) and…”