Simulation and estimation of long memory continuous time models

Journal of Time Series Analysis

Volumn 17, Issue 1, 1996, Pages 19-36

  Comte, F ^a  

^a CREST   (France)

Author keywords

Continuous models; Estimation; Long memory; Monte Carlo methods; Simulation

Indexed keywords

EID: 0001856115     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-9892.1996.tb00262.x     Document Type: Article

References (20)

1. ABRAMOWITZ, M. and STEGUN, I. A. (1972) Handbook of Mathematical Functions. New York: Dover Publications.
2. BACKUS, D. K. and ZIN, S. E. (1993) Long-memory inflation uncertainty: evidence from the term structure of interest rates. J. Money, Credit Banking 25(3), 681-708.
3. BARTLETT, M. S. (1946) On the theoretical specification of sampling properties of autocorrelated time series. J. R. Statist. Soc. 8, 27-41.
4. BERGSTROM, A. R. (1990) Continuous Time Econometric Modelling. Advanced text in econometrics. Oxford: Granger and Mizon.
5. BILLINGSLEY, P. (1968) Convergence of Probability Measures. New York: Wiley.
6. COMTE, F. and RENAULT, E. (1992) Non causality in continuous time processes. To appear in Econometric Theory 12(2), 1996.
7. _ and _ (1993) Long memory continuous time models. To appear in Journal of Econometrics, special issue on long memory.
8. _ and _ (1994) Long memory in continuous time stochastic volatility models. Working Paper.
9. COX, J., INGERSOLL, J., and ROSS, S. (1981) A re-examination of traditional hypotheses about the term structure of interest rates. J. Finance 36, 769-99.
10. CRAMER, H. and LEADBETTER, M. R. (1967) Stationary and Related Stochastic Processes. New York: Wiley.
11. DAHLHAUS, R. (1989) Efficient parameter estimation for self-similar processes. Ann. Stat. 17(4), 1749-66.
12. DAVIES, R. B. and HARTE, D. S. (1987) Tests for the Hurst effect. Biometrika 74(1), 95-101.
13. FOX, R. and TAQQU, M. S. (1986) Large sample properties of parameter estimates for strongly dependent stationary time series. Ann. Stat. 14(2), 517-32.
14. GEWEKE, J. and PORTER-HUDAK, S. (1983) The estimation and application of long memory time series models. J. Time Ser. Anal. 4(4), 221-38.
15. GRANGER, C. W. J. and JOYEUX, R. (1980) An introduction to long memory time series models and fractional differencing. J. Time Ser. Anal. 1(1), 15-29.
16. ROBINSON, P. M. (1992) Log-periodogram regression of time series with long range dependence. Working Paper of the London School of Economics, Invited session of the European Congress of the Econometric Society, Brussels.
17. _ (1994a) Time series with strong dependence. Advances in Econometrics: Sixth World Congress, Vol. 1 (ed. C. A. Sims). Cambridge, pp. 47-96.
18. _ (1994b) Semiparametric analysis of long-memory time series. Ann. Stat. 22, 515-39.
19. SOWELL, F. (1992) Modeling long-run behaviour with the fractional ARMA Model. J. Monetary Econ. 29, 277-302.
20. VIANO, M. C., DENIAU, C. and OPPENHEIM, G. (1994) Continuous-time fractional ARMA processes. Statistics and Probability Letters 21, 323-36.