FX pricing processes are nonstationary and their frequency characteristics are time-dependent. Most do not conform to geometric Brownian motion, since they exhibit a scaling law with a Hurst exponent between zero and 0.5 and fractal dimensions between 1.5 and 2. This paper uses wavelet...

FX pricing processes are nonstationary and their frequency characteristics are time-dependent. Most do not conform to geometric Brownian motion, since they exhibit a scaling law with a Hurst exponent between zero and 0.5 and fractal dimensions between 1.5 and 2. This paper uses wavelet...

This paper deals with the sustainability of the US current account using fractional integration. We examine nominal and real exports and imports and their corresponding values deflated by GNP. The results show that only the variables deflated by GNP may contain unit roots, while nominal and real...

This paper deals with a multivariate long memory model for the specification of real output in the US, the UK, and Canada. We examine the orders of integration of the three time series first individually and then allow cross dependence between observations. Performing univariate analysis,...

Atheoretical regression trees (ART) are applied to detect changes in the mean of a stationary long memory time series when location and number are unknown. It is shown that the BIC, which is almost always used as a pruning method, does not operate well in the long memory framework. A new method...

In this article we want to examine the time series behaviour of the UK unemployment using new statistical tools based on long memory nonstationary processes. In particular, we use a procedure developed by Robinson (1994) that permit us to simultaneously consider unit and fractional roots at the...

In this paper we specify a multi-factor long-memory process that enables us to estimate the fractional differencing parameters at each frequency separately, and adopt this framework to model quarterly prices in three European countries (France, Italy and the UK). The empirical results suggest...

In this paper, we explore the relevance of asymmetry, long memory and fat tails in modeling and forecasting the conditional volatility and market risk for the Gulf Cooperation Council (GCC) stock markets. Various linear and non-linear long-memory GARCH-class models under three density functions...