Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting

By Bent Jesper Christensen, Morten Ørregaard Nielsen. 2006

131 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d05c0668b13bf76fd0560a87b48eb205954f97e3

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Citations in the corpus

Simple (but effective) tests of long memory versus structural breaks (2006, unknown): “Therefore, (38) follows if we show n−1/2(1− L)u[nr]1{t ≥ 1} ⇒ ωW (r), r ∈ [0, 1], (41) n−1/2μ̂(d̂)(1− L)v[nr] ⇒ w(d0)(Γ(2− d0)Γ(d0 + 1))ωr0Wd0+1(1).”
Exact local Whittle estimation of fractionally cointegrated systems (2012, methodology): “BP use the NBLS estimator to estimate β; however, the NBLS estimator has different limiting distributions depending on whether δ2 < 1/2 (Christensen and Nielsen, 2006) or δ2 > 1/2 (Robinson and Marinucci, 2001).”
Local Whittle Analysis of Stationary Fractional Cointegration and the Implied–Realized Volatility Relation (2007, methodology): “My assumptions are multivariate generalizations of those in Robinson (1994a, 1995a); compare Lobato (1997, 1999), Christensen and Nielsen (2006), and (for an alternative model) Shimotsu (2006).”
Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach (2007, methodology): “1 Therefore, if the data are generated by (11), all the results in this section hold if we assume fu(λ) is bounded and estimate da by the two-step feasible ELW estimator.”
Fully modified narrow‐band least squares estimation of weak fractional cointegration (2011, unknown): “A slightly weaker bandwidth condition was employed by Christensen & Nielsen (2006) due to their assumption of real-valued spectral density at the origin.”
Multiple Local Whittle Estimation in Stationary Systems (2008, background): “, [6]), logged squares, with Xt, Yt generated by long-memory stochastic volatility models, Xt =AtBt, Yt =A β t Ct, where At = e at , Bt = e bt , Ct = e ct .”
Risk and return: Long-run relations, fractional cointegration, and return predictability $ (2013, methodology): “Similarly, Christensen and Nielsen (2006) find that daily realized and options implied equity index volatilities are fractionally integrated with d around 0.”
Semiparametric inference in multivariate fractionally cointegrated systems (2010, unknown): “In the standard I(1)/I(0) framework this includes Corbae and Ouliaris (1988) and Kim (1990), whereas in the fractional setting Cheung and Lai (1993) analysed a fractional version of the PPP model, which has recently been revisited by Gil-Alana and Hualde (2009), who employed the parametric technique”
Nonparametric cointegration analysis of fractional systems with unknown integration orders (2010, methodology): “…relation are Cheung & Lai (1993), Baillie & Bollerslev (1994), Dueker & Startz (1998), Kim & Phillips (2001), and Nielsen (2004), among others, and using semiparametric methods Marinucci & Robinson (2001), Robinson & Marinucci (2003), Velasco (2003), and Christensen & Nielsen (2006), among others.”