Show simple item record

dc.contributor.authorTrokic, M.en_US
dc.date.accessioned2015-07-28T12:03:34Z
dc.date.available2015-07-28T12:03:34Z
dc.date.issued2013en_US
dc.identifier.issn0143-9782
dc.identifier.urihttp://hdl.handle.net/11693/12867
dc.description.abstractRegulated (bounded) integrated time series are of significant practical importance and a recent development in the time series literature. Although regulated integrated series are characterized by asymptotic distributions that differ substantially from their unregulated counterparts, most inferential exercises continue to be performed with complete disregard for this potential feature of time series data. To date, only Cavaliere (2005) and Cavaliere and Xu (2011) have attempted to develop a theory for regulated integrated time series, particularly in the context of unit root testing. Unfortunately, no such theory has been developed for regulated fractionally integrated series, which are particularly important in financial time series and also in some unit root testing literature. This article achieves just this: it establishes a framework for regulated fractionally integrated processes and develops their functional central limit distributions. In addition, this article presents some simulation evidence and discusses several algorithms for obtaining the limiting distributions for these processes.en_US
dc.language.isoEnglishen_US
dc.source.titleJournal of Time Series Analysisen_US
dc.relation.isversionofhttp://dx.doi.org/10.1111/jtsa.12036en_US
dc.subjectRegulated time seriesen_US
dc.subjectFractionally integrated time seriesen_US
dc.subjectFractional Brownian motionen_US
dc.titleRegulated fractionally integrated processesen_US
dc.typeArticleen_US
dc.departmentDepartment of Economicsen_US
dc.citation.spage591en_US
dc.citation.epage601en_US
dc.citation.volumeNumber34en_US
dc.citation.issueNumber5en_US
dc.identifier.doi10.1111/jtsa.12036en_US
dc.publisherWiley-Blackwell Publishing Ltd.en_US
dc.identifier.eissn1467-9892


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record