. Models accounting for this correlation as well as long memory models for absolute returns appear to be promising. …

the sample autocorrelations, two popular semiparametric estimators of the long-memory parameter, and the parametric … is consistent with long-memory based on semiparametric and parametric estimates. Therefore, GARCH models can in some …

possesses long memory, these moment conditions have an n^{1/2-d} rate of convergence where 0<d<0.5 is the memory parameter. The … consistent and asymptotically normal under long memory in the latent variable, thus allowing for ãn consistent GMM estimation. …

We study the modeling of large data sets of high frequency returns using a long memory stochastic volatility (LMSV … realized volatility to that of a linear long memory model fit to the log realized volatility. The performance of the new …

memory Gaussian series. We show that even if the long memory structure of the time series is correctly specified, mis …We study the asymptotic behaviour of frequency domain maximum likelihood estimators of mis-specified models of long …

This paper discusses various ways of measuring the persistence or Long Memory (LM) of financial market risk in both its … the empirically observed long memory risk phenomenon is an infinite lag length phenomenon. Currently, there are three …

Many time series in diverse fields have been found to exhibit long memory. This paper analyzes the behaviour of some of … the most used tests of long memory: the R/S analysis, the modified R/S, the Geweke and Porter-Hudak (GPH) test and the … distributions, such as the normal, uniform, and lognormal. In the short-memory processes such as AR, MA and ARCH and long memory …

yields short memory in counts, while any Long Memory Stochastic Duration model with $d>0$ and all finite moments yields long … aggregated over a long time period to have nontrivial autocorrelation is for the short-term counts to have long memory. In other … memory in counts, with the same $d$. Finally, we present a result implying that the only way for a series of counts …