Summary We consider a non-parametric regression model with long-range dependent innovations, in which the regression function may have a discontinuity at an unknown point. We propose a method to estimate the unknown time of change. The rate of consistency and limit distribution of the...

The method proposed in this chapter is making use of the bispectrum transformation to estimate the level of integration of a fractionally integrated time series. Bispectrum ransformation transforms the series into a two dimensional frequency space, and thus has higher information content...

By analyzing high frequency data of transactions on the Italian stock index futures, we show that the statistical properties of average volume depend on the size of transactions, defined as the number of contracts transacted in a single operation. In particular, we find that large transactions...

A wide variety of processes are thought to show “long-range persistence”, specifically an autocorrelation function with power-law decay. A variety of methods have been proposed to quantify this power-law decay, and weather and climate systems, among others, have been claimed to show...

This paper identifies the Multifractal Models of Asset Return (MMARs) from the eight nodal term structure series of US Treasury rates as well as the Fed Funds rate and, after proper synthesis, simulates those MMARs. We show that there is an inverse persistence term structure in the sense that...