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受扰动分数过程的局部多项式 Whittle 估计AI 解读

We propose a semiparametric local polynomial Whittle with noise estimator of the memory parameter in long memory time series perturbed by a noise term which may be serially correlated. The estimator approximates the log-spectrum of the short-memory component of the signal as well as that of the perturbation by two separate polynomials. Including these polynomials we obtain a reduction in the order of magnitude of the bias, but also inflate the asymptotic variance of the long…

弱分数协整的完全修正窄带最小二乘估计AI 解读

We consider estimation of the cointegrating relation in the weak fractional cointegration model, where the strength of the cointegrating relation (difference in memory parameters) is less than one‐half. A special case is the stationary fractional cointegration model, which has found important applications recently, especially in financial economics. Previous research on this model has considered a semi‐parametric narrow‐band least squares (NBLS) estimator in the frequency…

连续时间模型、已实现波动率与日股票收益的可检验分布含义AI 解读

Abstract We provide an empirical framework for assessing the distributional properties of daily speculative returns within the context of the continuous‐time jump diffusion models traditionally used in asset pricing finance. Our approach builds directly on recently developed realized variation measures and non‐parametric jump detection statistics constructed from high‐frequency intra‐day data. A sequence of simple‐to‐implement moment‐based tests involving various…