Markets: individual Long Range Dependence in volatility---Long Memory (LM)---, high fractional comovement and time varying …

persistence or long memory in the financial markets different from the Fickian neutral independence (i.i.d.) of the returns … of persistence into the binomial and Black-Scholes pricing formulas. Long memory options are of considerable importance …

emphasis of this paper is an assessment of the performance of long memory time series models in comparison to their short …-memory counterparts. Since long memory models should have a particular advantage over long forecasting horizons, we consider predictions … of up to 100 days ahead. In most respects, the long memory models (ARFIMA, FIGARCH and multifractal models) dominate over …

MDH model through a systematic analysis of the long memory properties of power transformations of both series. It is found …

-stationary, non-ergodic and long-term dependent, i.e., they have long memory. The degree of long- term dependence is measured by …

There are two crucial conditions for cross-sectional aggregation of AR(1) parameters to produce long memory: 1 … the AR(1) coefficients in generating long memory. The positive relation between these moments and the order of integration … first modeling long memory in inflation as a result of the aggregation of individual inflation expectations and then showing …

of stochastic long memory in financial variables has also been an important topic of research. Though the long memory … behavior of stock return has been studied extensively, very few researchers have analyzed the long memory hypothesis for stock … integer (Baillie, 1996). Hence as our next step we tried to examine the consistent estimation of the long-memory parameterâ …

Time series with long-memory behavior have recently received much attention. Much interest attaches to parameter …