estimation, we find little evidence of long memory in returns themselves, by strong evidence of persistence in volatility …

Over the last years there has been considerable interest in the application of long memory time series models in …

-called long-memory property which is examined using, various alternative test procedures. This analysis makes use of relatively … long monthly Finnish time series which cover the period 1922-1996. The results give some evidence on long memory but one … cannot say that the results would overwhelmingly support the existence of long memory in Finnish time series. There are …

family, and model time-varying volatility by a GARCH(1,1) process. We also allow for the possibility of long memory in the …