. We consider a new family of volatility models which account for such patterns, focussing in particular on the long memory …

and long memory in the latter. We discuss its main statistical properties with respect to the common set of stylized facts …

that the level of output can exhibit long memory and that standard tests fail to reject the null of a unit root despite …

We discuss models that impart a form of long memory in raw time series xt or instantaneous functions thereof, in … particular . on the basis of a linear or nonlinear model. The capacity of linear models for xt to imply long-memory in nonlinear … noise, xt but a long memory . One such model which we describe is based on the long memory generalized ARCH model introduced …

frequencies, and thus applies to time series exhibiting long memory. In particular, we show that the consistency and asymptotic … to hold for long memory processes when ? lies outside any arbitrary neighbourhood of the singularities. Specifically, we …

We discuss specification, frequency domain estimation and application of flexible fractionally integrated seasonal long … memory time series models, which allow for 'chi-squared' (seasonal) unit root testing. We suggest periodogram regression and …