Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence

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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.”
The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets (2007, methodology): “1See, e.g., Jorion (1995), Xu & Taylor (1995), Covrig & Low (2003), and Pong, Shackleton, Taylor & Xu (2004) on the foreign exchange market, Day & Lewis (1992), Canina & Figlewski (1993), Lamoureux & Lastrapes (1993), Christensen & Prabhala (1998), Fleming (1998), and Blair, Poon & Taylor (2001) on ”
Local Whittle Analysis of Stationary Fractional Cointegration and the Implied–Realized Volatility Relation (2007, methodology): “…∂θ ′ ∣∣∣∣ θ̂ (1) )−1( ∂L(θ) ∂θ ∣∣∣∣ θ̂ (1) ) , where θ̂ (1) is a consistent initial estimator, for example, the univariate local Whittle QMLE of Robinson (1995a) combined with the narrow-band FDLS estimator of Robinson (1994a) and Christensen and Nielsen (2006) or the GLS version of Nielsen (2005).”
Multiple Local Whittle Estimation in Stationary Systems (2008, background): “6) and χ0 < 1/2; [23] gave analogous results for a weighted version of (4.”