Robust Automatic Bandwidth for Long Memory

By Marc Henry. 2001

87 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/9b5bafc74284e5560b2eef3076fe63b09f72a7e6

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Citations in the corpus

LONG MEMORY TESTING IN THE TIME DOMAIN (2007, methodology): “Henry (1999) Long and short memory conditional heteroskedasticity in esti mating the memory parameter of levels.”
Breaks and persistency: macroeconomic causes of stock market volatility (2006, methodology): “Following Henry [53] the optimal bandwidths can be stated as follows: m * LW = µ 3 4π ¶ 4/5 ¯ ¯ ¯ ¯ τ * + d x 12 ¯ ¯ ¯ ¯ −2/5 T 4/5 for the local Whittle estimator and − 1 2 < d < 1 2 ; m LP = µ 27 512π 2 ¶ 1/5 |τ * | −2/5 T 4/5 for the log periodogram estimator, − 1 2 < d < 1 2 and τ * 6 = 0; m AP ”
Microeconomic Models for Long Memory in the Volatility of Financial Time Series (2001, methodology): “6The robustness properties have been established by Henry (2001b) and Robinson and Henry (1999), respectively.”
A BIAS-REDUCED LOG-PERIODOGRAM REGRESSION ESTIMATOR FOR THE LONG-MEMORY PARAMETER (2003, background): “Still other related papers include Delgado and Robinson (1996), Henry and Robinson (1996), Hurvich and Deo (1999), and Henry (2001).”
Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes (2003, background): “Other related papers include Henry and Robinson (1996), Hurvich and Deo (1999) and Henry (1999).”
A simple test of changes in mean in the possible presence of long‐range dependence (2011, background): “The selection of the bandwidth has been addressed by Henry and Robinson (1996), Lobato and Robinson (1998) and Henry (2001). In this article, we fix m 1⁄4 bnc for computational convenience.”