Local polynomial Whittle estimation of perturbed fractional processes

Per Frederiksen, Frank Nielsen and Morten Nielsen

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: We propose a semiparametric local polynomial Whittle with noise (LPWN) estimator of the memory parameter in long memory time series perturbed by a noise term which may be serially correlated. The estimator approximates the spectrum of the perturbation as well as that of the short-memory component of the signal by two separate polynomials. Furthermore, an empirical investigation of the 30 DJIA stocks shows that this estimator indicates stronger persistence in volatility than the standard local Whittle estimator.

Keywords: Bias reduction; local Whittle; long memory; perturbed fractional process; semiparametric estimation; stochastic volatility (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 47
Date: 2008-06-09
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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Citations: View citations in EconPapers (16)

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Related works:
Journal Article: Local polynomial Whittle estimation of perturbed fractional processes (2012)
Working Paper: Local Polynomial Whittle Estimation Of Perturbed Fractional Processes (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2008-29

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