Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes

By Yixiao Sun, Peter C. B. Phillips. 2003

82 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/799e05add12258e52f9c7b40160bf74b4d52fa22

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. Asger Lunde
2. P. R. Hansen
3. Morten Ørregaard Nielsen
4. Per Frederiksen
5. Andrew J. Patton
6. Violetta Dalla
7. J. Hidalgo
8. Frank Nielsen

In Finance

1. Asger Lunde
2. P. R. Hansen
3. Per Frederiksen
4. Morten Ørregaard Nielsen
5. Andrew J. Patton
6. N. Shephard
7. Violetta Dalla
8. J. Hidalgo

Citations in the corpus

• MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS (2013, unknown): “Recent years have seen the emergence of estimators that reduce the biases arising from (i) level shifts and deterministic trends (e.g., the present paper), (ii) short-memory dynamics (e.g., Andrews and Guggenberger, 2003), and (iii) the presence of noise (e.g., Sun and Phillips, 2003).”
• ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR (2013, background): “A few papers, such as Chong and Lui (1999), Sun and Phillips (2003), Hurvich, Moulines, and Soulier (2005), and Haldrup and Nielsen (2007), consider estimation of the memory parameter in an ARFIMA setting, where the time series of interest is perturbed by an additive noise term.”
• Consistent estimation of the memory parameter for nonlinear time series (2006, methodology): “plus noise models were discussed by Sun and Phillips (2003) , Hurvich, Moulines and Soulier (2005) and Andrews and Sun (2004).”
• Local Polynomial Whittle Estimation of Perturbed Fractional Processes (2008, methodology): “This constitutes a rate of convergence improvement relative to Sun & Phillips (2003), Hurvich & Ray (2003), and Hurvich et al. (2005) who are only able to obtain a semiparametric rate of convergencem1=2, which is much slower than the parametric rate due to the minimal requirement that m=n!”
• Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices (2010, unknown): “…likely scenario given that the proxies used for volatility are noisy measures of the true volatility process, the bias is negative but it is negative for all values of m (see, Breidt, Crato, and de Lima 1998; Deo and Hurvich 2001; Sun and Phillips 2003, and Hurvich, Moulines, and Soulier 2005).”