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Instituto Superior de Economia e Gestão (ISEG)

Eventos

ISEG 2S | Quantile Regression for Long Memory Testing: A case of Realized Volatility

Em 25-10-2013 às 11:30 / Quelhas 6 | Floor 4 | BES Room

Speaker
Paulo Rodrigues
Banco de Portugal


Presentation

Quantile Regression for Long Memory Testing: A case of Realized Volatility

Abstract
We introduce a new quantile regression approach to test for long memory in time series. The procedures proposed allow testing at individual and joint quantiles. The latter approach is useful to determine the order of integration over a set of percentiles, allowing in this way to more generally address the overall hypothesis of fractional integration. The null distributions of these tests are standard and free of nuisance parameters. The finite sample validity of the approach is established through Monte Carlo simulations, which also provides evidence of power gains over least-squares procedures under non-Gaussian errors. An empirical application of the new procedures on di§erent measures of daily realized volatility is presented. The main finding is that the suitability of a long-memory model with a constant order of integration around 0.4 cannot be rejected along the diferent percentiles of the distribution, providing in this way strong support to the existence of long memory
in realized volatility from a completely new perspective.

Complete calendar
To see the full calendar please click here.

ORGANIZING TEAM
This seminars series is organized by Joana Pais (ECO), Raquel M. Gaspar (FIN/MG) and Isabel Proença (QM).


MEETING THE SPEAKER
All speakers are available to meet faculty at ISEG before the talk. Slots are limited. To book your time with the speaker, contact one of the coordination team members.


MAILING LIST
To join the ISEG 2S Seminar Mailing List and receive regular information contact Filomena Ferreira.


PARKING
If you come to the seminars at ISEG by car, please contact Filomena Ferreira to assure your entrance into the park.