Narrow-Band Analysis of Nonstationary Processes

By Peter M. Robinson, Domenico Marinucci. 2001

136 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/21a1f7ab5846a999ef89c38fb781ab216cdf5334

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Citations in the corpus

Semiparametric estimation of fractional cointegrating subspaces (2006, methodology): “Such a test was proposed by Marinucci and Robinson ([13], pages 236–237), following on from an idea originally suggested in a different context by Hausman [6], using a comparison of two estimates of d0, one based on a multivariate Gaussian semiparametric estimator (see [11]) using {yt }nt=1 with an ”
Root-N-Consistent Estimation of Weak Fractional Cointegration (2006, unknown): “Properties of the LSE and NBLSE were also studied by Robinson and Marinucci (2001, 2003) in case � > 1=2; (9)”
Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting (2006, background): “The residuals are of lower order of fractional integration than the volatility 3The rationale for this has been provided by Robinson & Marinucci (2001) and Chen & Hurvich (2003a, 2003b), who showed that a small (finite) m is sufficient for consistency and produces much less bias.”
Semiparametric inference in multivariate fractionally cointegrated systems (2010, unknown): “…(1994a), who found that m/n → 0 is necessary for consistency of the narrow band least squares estimate in case of stationary cointegration, whereas Robinson and Marinucci (2001, 2003) found that m/n → 0 reduces the bias of this estimate in nonstationary cointegration situations where the…”
Estimating Fractional Cointegration in the Presence of Polynomial Trends (2003, unknown): “We note that the results of Robinson and Marinucci (2001) do not allow for the possibility of deterministic trends in the levels.”
Residual Log-Periodogram Inference for Long-Run-Relationships (2002, unknown): “He suggested that given a sufficiently fast rate of convergence of the regression estimator the residual-based log-periodogram regression should result in asymptotic normality just as with observed series (confer the application in Robinson and Marinucci, 2001).”
Local Whittle Analysis of Stationary Fractional Cointegration and the Implied–Realized Volatility Relation (2007, methodology): “…orders than the narrow-band frequency domain least squares estimator of Robinson (1994a), analyzed by, for example, Marinucci and Robinson (2001), Robinson and Marinucci (2001, 2003), and Christensen and Nielsen (2006), and is superior with respect to asymptotic variance when the latter is…”
Long Memory and the Relation between Implied and Realized Volatility (2006, background): “…models, the least squares estimates converge at atypical rates and have nonstandard limiting distributions (see Kim and Phillips (1999b) and Robinson and Marinucci (2001), RM henceforth, for instance), thus requiring adjustments to the conventional standard errors for the purpose of…”
Exact local Whittle estimation of fractionally cointegrated systems (2012, unknown): “Therefore, Pr(infNρ∩Θa1 S(d) ≤ 0) → 0 follows if det Ĝ(d)− det G = op(1), (15)”