valuation by simple simulation. Many empirical researchers have observed the non-Fickian degrees of persistence or long memory … to incorporate the various degrees of persistence into the Black-Scholes pricing formula. Long memory options are of …

long memory. Realistic estimates of the power-law decay indices and the (FI)GARCH parameters are presented …

. We estimate the two main parameters driving the degree of persistence in inflation and its uncertainty using a dual long … memory process. We also investigate the possible existence of heterogeneity in inflation dynamics across Euro area countries …

unit roots, namely long memory and models that depart from linearity. While the use of long memory and stochastic regime … allows one to jointly test for long memory and non-linearity (regime switching behavior) of the STAR variety. I find that … cases where non-linearity is found, I also find significant evidence of long memory for the majority of the countries in my …

for stationary long memory processes of Morana [Appl. Econ. Lett. 11 (2004) 837], concerning asymptotic properties …

generalized Hurst exponents analysis. Based on numerical results, the scaling range of TEPIX returns is specified, long-memory …

In this paper we discuss different aspects of long memory behavior and applicable parametric models. We discuss the …

volatility that impacts the modelling process is long memory explored in this paper for alternative risk measures, observed … stock index, interest rate and bond futures are analysed. Long memory is strongest for the bond contract. Long memory is … always strongest for the absolute returns series and at a power transformation of k < 1. The long memory findings generally …