Hauser, Michael, Kunst, Robert M.. 2001. Fractionally Integrated Models with ARCH Errors. Ökonometrisches Forschungseminar, IHS, Wien, 01.12.

RIS

@MISC{Hauser2001,
title = {Fractionally Integrated Models with ARCH Errors},
author = {Michael Hauser and Robert M. Kunst},
year = {2001},
address = {Wien},
url = {http://www.ihs.ac.at/publications/ihsfo/fo322.pdf},
language = {DE},
misc = {Ökonometrisches Forschungseminar, IHS},
abstract = {We indroduce ARFIMA-ARCH models which simultaneously incorporate fractional differencing and conditional heteroskedasticity. We develop the likelihood function and a numerical estimation procedure for this model class. Two ARCH models - Engle- and Weisstype - are explicitly treated and stationarity conditions are derived. Finite-sample properties oft he estimation procedure are explored by Monte Carlo simulation. An application to the Standard & Poor 500 Index indicates existence of intermediate memory (d<0) for the 1980's and no fractional differencing (d=0) but strong conditional heteroskedastic effects for the 1960's. For the latter time period contrary to the suggestion of long memory by Mandelbrot, we only found evidence for a positive first-order autoregressive parameter.},
}