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The long memory property of a time series has long been studied and several estimates of the memory or persistence parameter at zero frequency, where the spectral density function is symmetric, are now available. Perhaps the most popular is the log periodogram regression introduced by Geweke and Porter–Hudak [gewe]. In this paper we analyse the asymptotic properties of this estimate in the seasonal or cyclical long memory case allowing for asymmetric spectral poles or zeros. Consistency and asymptotic...
The EGARCH model of Nelson [29] is one of the most successful ARCH models which may exhibit characteristic asymmetries of financial time series, as well as long memory. The paper studies the covariance structure and dependence properties of the EGARCH and some related stochastic volatility models. We show that the large time behavior of the covariance of powers of the (observed) ARCH process is determined by the behavior of the covariance of the (linear) log-volatility process; in particular, a...
The EGARCH model of Nelson [29] is one of the most
successful
ARCH models which may exhibit characteristic asymmetries of
financial time series, as well as long memory. The paper studies
the covariance structure and dependence properties of the EGARCH
and some related stochastic volatility models. We show that the
large time behavior of the covariance of powers of the (observed)
ARCH process is determined by the behavior of the covariance of
the (linear) log-volatility process; in particular,...
We present an application of nonlinear Generalised Canonical Analysis (GCA) for analysing longitudinal data. The application uses lagged versions of variables to accomodate the time-dependence in the measurements. The usefulness of the proposed method is illustrated in an example from developmental psychology, in which we explore the relationship between mother and child dyadic interaction during the first six months after birth, demonstrating how child behaviour can elicit mother behaviour. We...
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