A Review on Techniques of Estimation in Long-Memory Processes: Application to Intra-Day Data.

In this paper we compare via Monte Carlo experiments some methods to estimate the parameter of long-range dependence. We then apply these procedures to a financial time series to investigate its long-memory properties. The evidence of smooth long-range dependence makes the usual Efficiency Market Hypothesis questionable.

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Year of publication:	1996
Authors:	Bisaglia, L. ; Guegan, D.
Subject:	EVALUATION \| ECONOMETRICS \| TIME SERIES

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Type of publication:	Book / Working Paper
Notes:	36 pages
Classification:	C10 - Econometric and Statistical Methods: General. General ; C20 - Econometric Methods: Single Equation Models. General ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005641038