Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood

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英文文献：Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood
英文文献作者：Per Frederiksen,Frank S. Nielsen
英文文献摘要：
In this paper, we propose new tests for long memory in stationary and nonstationary time series possibly perturbed by short-run noise which may be serially correlated. The tests are all based on semiparametric estimators and exploit the self-similarity property of long memory processes. We o¤er simulation results that show good size properties of the tests, with power against spurious long memory. An empirical study of daily log-squared returns series of exchange rates and DJIA30 stocks shows that indeed there is long memory in exchange rate volatility and stock return volatility.

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