This paper presents an invariance principle for highly nonstationary long memory processes, defined as processes with … long memory parameter lying in (1, 1.5). This principle provides the tools for showing asymptotic validity of the bootstrap …

The possibility of confusing long memory behavior with structural changes need to specify what kind of long memory … behavior is concerned in literature and applications. One attraction of long memory models is that they imply different long … evidence that long memory processes describe rather well financial data such as forward premiums, interest rate differentials …

(2003c) documents the importance of allowing for long memory in volatility and time varying correlations when estimating … allowing for basis convergence and long memory in volatility when modelling the joint dynamics. These effects are also shown to …

for each series and this indicates long memory. To support our findings we apply also a methodology using the sample …

For the London Stock Exchange we demonstrate that the signs of orders obey a long-memory process. The autocorrelation …-correlated fluctuations in transaction size and liquidity, which are also long-memory processes that act to make the returns whiter. We show …

. Persistence of seventy-five inflation series at various aggregation levels is examined by estimating models that allow long memory … paper finds evidence of spurious long memory due to aggregation. …