Financial Market Dynamics:

Topics in Long-Memory Modeling

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Ph.D. Project:

This page illustrates the papers I have included in my dissertation. The papers are available for download here. Comments concerning the papers are most welcome.

Papers

   

Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration.

   

A Local Polynomial Whittle Estimator of Perturbed Fractional Processes.

   

Testing for Long Memory in Time series.

   

A Fully Modified Narrow-Band Least Squares Estimator of Stationary Fractional Cointegration.

    The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application.

The whole dissertation can by downloaded here.

Dissertation defence - Slide Show in danish

 

Skaarup Frederiksen 2005