?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.relation=https%3A%2F%2Fpublications.ut-capitole.fr%2Fid%2Feprint%2F3421%2F&rft.title=Nonparametric+Beta+Kernel+Estimator+for+Long+Memory+Time+Series&rft.creator=Bouezmarni%2C+Taoufik&rft.creator=Van+Bellegem%2C+S%C3%A9bastien&rft.subject=B-+ECONOMIE+ET+FINANCE&rft.description=The+paper+introduces+a+new+nonparametric+estimator+of+the+spectral+density+that+is+given+in+smoothing+the+periodogram+by+the+probability+density+of+Beta+random+variable+(Beta+kernel).+The+estimator+is+proved+to+be+bounded+for+short+memory+data%2C+and+diverges+at+the+origin+for+long+memory+data.+The+convergence+in+probability+of+the+relative+error+and+Monte+Carlo+simulations+suggest+that+the+estimator+automaticaly+adapts+to+the+long-+or+the+short-range+dependency+of+the+process.+A+cross-validation+procedure+is+also+studied+in+order+to+select+the+nuisance+parameter+of+the+estimator.+Illustrations+on+historical+as+well+as+most+recent+returns+and+absolute+returns+of+the+S%26P500+index+show+the+reasonable+performance+of+the+estimation%2C+and+show+that+the+data-driven+estimator+is+a+valuable+tool+for+the+detection+of+long-memory+as+well+as+hidden+periodicities+in+stock+returns.&rft.publisher=TSE+Working+Paper&rft.date=2009-09-11&rft.type=Monograph&rft.type=NonPeerReviewed&rft.format=text&rft.language=en&rft.identifier=https%3A%2F%2Fpublications.ut-capitole.fr%2Fid%2Feprint%2F3421%2F1%2Fwp_etrie_82_2009.pdf&rft.identifier=++Bouezmarni%2C+Taoufik+and+Van+Bellegem%2C+S%C3%A9bastien+%3Chttps%3A%2F%2Fwww.idref.fr%2F12139171X%3E++(2009)+Nonparametric+Beta+Kernel+Estimator+for+Long+Memory+Time+Series.++TSE+Working+Paper%2C+n.+09-082+++++&rft.relation=http%3A%2F%2Ftse-fr.eu%2Fpub%2F23200&rft.language=en