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Please use this identifier to cite or link to this item: http://hdl.handle.net/2451/14777

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, 221–238). 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.
URI: http://hdl.handle.net/2451/14777
Appears in Collections:IOMS: Statistics Working Papers

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