Changryong Baek

Statistical tests are introduced for distinguishing between short‐range dependent time series with a single change in mean, and long‐range dependent time series, with the former making the null hypothesis. The tests are based on estimation of the self‐similarity parameter after removing the change in mean from the series. The focus is on the GPH (Geweke and Porter‐Hudak, 1983) and local Whittle estimation methods in the spectral domain. Theoretical properties of the resulting estimators are esta

A periodic dynamic factor model (PDFM) is introduced as a dynamic factor modeling approach to multivariate time series data exhibiting cyclical behavior and, in particular, periodic dependence structure. In the PDFM, the loading matrices are allowed to depend on the “season” and the factors are assumed to follow a periodic vector autoregressive (PVAR) model. Estimation of the loading matrices and the underlying PVAR model is studied. A simulation study is presented to assess the performance of t

It is well known that changes in mean superimposed by a shortrange dependent series can be confused easily with long-range dependence. A procedure to distinguish the two phenomena is introduced. The proposed procedure is based on the local Whittle estimation of the long-range dependence parameter applied to the series after removing changes in mean, and comparing the results to those obtained through the available CUSUM-like approaches. According to the proposed procedure, for example, volatilit

This paper proposes a factor-augmented heterogeneous autoregressive (FAHAR) model for realized volatility. This model incorporates volatility information from other stock markets into several f actors, hence it is expected to improve forecasting. We also consider nonlinear modeling of the FAHAR based on the LSTM network in deep neural networks. Our empirical analysis shows that factor augmentation indeed improves forecasting for all the stock indices considered, implying the co-movement of world

Many empirical findings show that volatility in financial time series exhibits high persistence. Some researchers argue that such persistency is due to volatility shifts in the market, while others believe that this is a natural fluctuation explained by stationary long‐range dependence models. These two approaches confuse many practitioners, and forecasts for future volatility are dramatically different depending on which models to use. In this article, therefore, we consider a statistical testi

In the context of functional time series, we propose a significance test to distinguish between short memory with a change point and long range dependence. The test is based on coefficients of projections onto an optimal direction that captures the dependence structure of the latent stationary functions that are not observable due to a potential change point. The optimal direction must be estimated as well. The test statistic is constructed using the local Whittle estimator applied to these coef

This work develops nonasymptotic theory for estimation of the long-run variance matrix and its inverse, the so-called precision matrix, for high-dimensional time series under general assumptions on the dependence structure including long-range dependence. The estimation involves shrinkage techniques, which are thresholding and penalizing versions of the classical multivariate local Whittle estimator. The results ensure consistent estimation in a double asymptotic regime where the number of compo