Wavelets and estimation of long memory in nonstationary models: Does anything beat the exact local whittle estimator?

2016 ◽  
Vol 46 (2) ◽  
pp. 1189-1218 ◽  
Author(s):  
H. Boubaker ◽  
M. Boutahar ◽  
R. Khalfaoui
Keyword(s):  
Long Memory ◽  
Local Whittle Estimator

EXACT LOCAL WHITTLE ESTIMATION IN LONG MEMORY TIME SERIES WITH MULTIPLE POLES

2020 ◽  
Vol 36 (6) ◽  
pp. 1064-1098 ◽  
Author(s):  
Josu Arteche
Keyword(s):  
Time Series ◽  
Long Memory ◽  
Unit Roots ◽  
Finite Sample ◽  
Production Index ◽  
Whittle Estimation ◽  
Memory Time ◽  
Local Whittle Estimator ◽  
Consistency And Asymptotic Normality ◽  
Multiple Poles

A generalization of the Exact Local Whittle estimator in Shimotsu and Phillips (2005, Annals of Statistics 33, 1890–1933) is proposed for jointly estimating all the memory parameters in general long memory time series that possibly display standard, seasonal, and/or other cyclical strong persistence. Consistency and asymptotic normality are proven for stationary, nonstationary, and noninvertible series, permitting straightforward standard inference of interesting hypotheses such as the existence of unit roots and equality of memory parameters at some or all seasonal frequencies, which can be used as a prior test for the application of seasonal differencing filters. The effects of unknown deterministic terms are also discussed. Finally, the finite sample performance is analyzed in an extensive Monte Carlo exercise and an application to an U.S. Industrial Production index.

scholarly journals Long-memory in asset returns and volatility: evidence from West Africa

2016 ◽  
Vol 13 (2) ◽  
pp. 24-28 ◽  
Author(s):  
Emmanuel Numapau Gyamfi ◽  
Kwabena A. Kyei ◽  
Ryan Gill
Keyword(s):  
Long Memory ◽  
Hurst Exponent ◽  
Abnormal Returns ◽  
Asset Returns ◽  
Weak Form ◽  
Long Range Dependence ◽  
Semiparametric Method ◽  
Local Whittle Estimator ◽  
History Of ◽  
Price History

This paper measures the degree of long-memory or long-range dependence in asset returns and volatility of two stock indices in Ghana and Nigeria. The presence of long-memory opens up opportunities for abnormal returns to be made by analyzing price history of a particular market. The authors employ the Hurst exponent to measure the degree of long-memory which is evaluated by a semiparametric method, the Local Whittle estimator. The findings show strong evidence of the presence of long-memory in both returns and volatility of the indices studied, suggesting that neither of the markets in Ghana and Nigeria is weak-form efficient

Term-Long Memory

1984 ◽  
Vol 29 (7) ◽  
pp. 576-577
Author(s):  
Leonard D. Stern
Keyword(s):  
Long Memory

Limit theorems for long-memory flows on Wiener chaos

Bernoulli ◽  
2020 ◽  
Vol 26 (2) ◽  
pp. 1473-1503 ◽  
Author(s):  
Shuyang Bai ◽  
Murad S. Taqqu
Keyword(s):  
Long Memory ◽  
Limit Theorems ◽  
Wiener Chaos

Statistical benefits of value-at-risk with long memory

2005 ◽  
Vol 7 (4) ◽  
pp. 21-45 ◽  
Author(s):  
Andrea Beltratti ◽  
Claudio Morana
Keyword(s):  
At Risk ◽  
Long Memory ◽  
Value At Risk

Estimating DSGE Models with Long Memory Dynamics

2008 ◽  
Author(s):  
Gianluca Moretti ◽  
Giulio Nicoletti
Keyword(s):  
Long Memory ◽  
Dsge Models
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