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|Title: ||ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN
LONG MEMORY STOCHASTIC VOLATILITY MODELS|
|Authors: ||Deo, Rohit S.|
Hurvich, Clifford M.
|Issue Date: ||1998 |
|Publisher: ||Stern School of Business, New York University|
|Series/Report no.: ||SOR-98-4|
|Abstract: ||We consider semiparametric estimation of the memory parameter in a long
memory stochastic volatility model. We study the estimator based on a
log periodogram regression as originally proposed by Geweke and
Porter-Hudak (1983, Journal of Time Series Analysis 4,
Expressions for the asymptotic bias and variance of the estimator are
obtained, and the asymptotic distribution is shown to be the same as
that obtained in recent literature for a Gaussian long memory series.
The theoretical result does not require omission of a block of
frequencies near the origin. We show that this ability to use the
lowest frequencies is particularly desirable in the context of the long
memory stochastic volatility model.|
|Appears in Collections:||IOMS: Statistics Working Papers|
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