MEASURING THE MEMORY PARAMETER ON SEVERAL TRANSFORMATIONS OF ASSET RETURNS

The issue in this paper is to measure the memory parameter in several transformations of historical data of asset returns in the UK (xt) by means of fractionally integrated techniques. We use both parametric and semiparametric methods, and the results show that the power transformations of the absolute values of the returns (i.e., |xt|θ, with θ < 2 to avoid the fourth moment problem) are long memory, with the memory parameter fluctuating around 0.25.

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Year of publication:	2005
Authors:	GIL-ALANA, L. A.
Published in:	International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 08.2005, 06, p. 675-691
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	Asset returns \| fractional integration \| long memory

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Extent:	application/pdf text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004971750