likelihood methods. Significant evidence of fractional dynamics with long-memory features is found in both CPI- and WPI …-based inflation rates for industrial as well as developing countries. Implications of the findings are considered and sources of long … memory are hypothesized. …

process with long memory, that is, it is mean reverting, though not covariance stationary. Despite significant persistence in …

processes with long memory. These findings have important implications for econometric modeling, forecasting, and cointegration …

Using the spectral regression and Gaussian semiparametric methods of estimating the long-memory parameter, we test for …, stock prices, currency forward premia, Euroyen deposit rates, and the Euroyen term premium. Stochastic long memory is …

We test for stochastic long memory in the Greek stock market, an emerging capital market. The fractional differencing …

that the equilibrium errors display long memory. …

also long memory behavior. We argue that this strong degree of dependence between the observations might be explained by …

The aim of this work is to take into account the effects of long memory in volatility on derivative hedging. This idea … is an extension of the work by Fedotov and Tan [Stochastic long memory process in option pricing, Int. J. Theor. Appl …. Finance 8 (2005) 381–392] where they incorporate long-memory stochastic volatility in option pricing and derive pricing bands …