Publikation: ON M-Estimation Under Long-Range Dependence in Volatility
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2007
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Journal of Time Series Analysis. 2007, 28(1), pp. 138-153. ISSN 0143-9782. eISSN 1467-9892. Available under: doi: 10.1111/j.1467-9892.2006.00506.x
Zusammenfassung
We consider M-estimation of a location parameter for processes with zero autocorrelations but long-range dependence in volatility. The observed process is the product of i.i.d. Gaussian observations and a long-memory Gaussian process. For nonlinear estimators, the rate of convergence depends on the type of the ψ-function. For skew-symmetric ψ-functions, a central limit theorem with with √n-rate of convergence holds, under suitable regularity assumptions. This is not true in general for M-estimators where the ψ-function is not skewsymmetric.
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Fachgebiet (DDC)
510 Mathematik
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Long-range dependence, M-estimator, volatility, location estimation, central limit theorem
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BERAN, Jan, 2007. ON M-Estimation Under Long-Range Dependence in Volatility. In: Journal of Time Series Analysis. 2007, 28(1), pp. 138-153. ISSN 0143-9782. eISSN 1467-9892. Available under: doi: 10.1111/j.1467-9892.2006.00506.xBibTex
@article{Beran2007MEsti-27578,
year={2007},
doi={10.1111/j.1467-9892.2006.00506.x},
title={ON M-Estimation Under Long-Range Dependence in Volatility},
number={1},
volume={28},
issn={0143-9782},
journal={Journal of Time Series Analysis},
pages={138--153},
author={Beran, Jan}
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