An Empirical Research on the Long Memory in China Security Market by local Whittle Estimation

Since there are some drawbacks in non-parametric methods,the paper applies methods of semi-parametric estimation based on frequency domain including local Whittle estimation and log-periodogram regression in China security market.LW estimation is proved to be more efficient than GPH regression by compare.Then LW estimation is applied in China security market,and some very important results are got.