-memory models or implicitly imposing infinite memory. We find that both approaches are inadequate: beta factors show consistent long-memory …. A pure long-memory model reliably provides superior beta forecasts compared to all alternatives. Finally, we document …-memory or random walk instead of long-memory processes. …

line. However, it is not a bubble but a short deviation from trend. The study also estimates a time-varying long memory …

of volatility. Results from the conditional heteroskedasticity long memory model show the evidence of long memory in the …

This paper derives a multivariate local Whittle estimator for the memory parameter of a possibly long memory process …

-memory models or implicitly imposing infinite memory. We find that both approaches are inadequate: beta factors show consistent long-memory …. A pure long-memory model reliably provides superior beta forecasts compared to all alternatives. Finally, we document …-memory or random walk instead of long-memory processes. …