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Full-Text Articles in Econometrics
Finite Sample Comparison Of Alternative Estimators For Fractional Gaussian Noise, Shuping Shi, Jun Yu, Chen Zhang
Finite Sample Comparison Of Alternative Estimators For Fractional Gaussian Noise, Shuping Shi, Jun Yu, Chen Zhang
Research Collection School Of Economics
The fractional Brownian motion (fBm) process is a continuous-time Gaussian process with its increment being the fractional Gaussian noise (fGn). It has enjoyed widespread empirical applications across many fields, from science to economics and finance. The dynamics of fBm and fGn are governed by a fractional parameter H ∈ (0, 1). This paper first derives an analytical expression for the spectral density of fGn and investigates the accuracy of various approximation methods for the spectral density. Next, we conduct an extensive Monte Carlo study comparing the finite sample performance and computational cost of alternative estimation methods for H under the …
On The Optimal Forecast With The Fractional Brownian Motion, Xiaohu Wang, Chen Zhang, Jun Yu
On The Optimal Forecast With The Fractional Brownian Motion, Xiaohu Wang, Chen Zhang, Jun Yu
Research Collection School Of Economics
This paper examines the performance of alternative forecasting formulae with the fractional Brownian motion based on a discrete and finite sample. One formula gives the optimal forecast when a continuous record over the infinite past is available. Another formula gives the optimal forecast when a continuous record over the finite past is available. Alternative discretiza-tion schemes are proposed to approximate these formulae. These alternative discretization schemes are then compared with the conditional expectation of the target variable on the vector of the discrete and finite sample. It is shown that the conditional expectation delivers more accurate forecasts than the discretization-based …