Purpose – The purpose of this paper is to examine the long memory property of equity returns and volatility of emerging equity market by focusing on the Malaysian equity market, namely the Kuala Lumpur Stock Exchange (KLSE). Design/methodology/approach – The study adopts the Fractionally...

This paper extends the °uctuation monitoring test of Chu et al. (1996) to the regression model involving stationary or nonstationary long memory regressors and errors by proposing two innovative on-line detectors. In spite of the general framework covered by these detectors, their computational...

Memory properties of financial assets are investigated. Using Detrended Fluctuation Analysis we show that the long memory detection in volatility is affected by the presence of jumps, realized volatility being a biased volatility proxy. We propose threshold bipower variation as an alternative...

The purpose of this comment is to correct mistaken assumptions and claims made in the paper “Stochastic feedback, nonlinear families of Markov processes, and nonlinear Fokker–Planck equations” by T. D. Frank [T.D. Frank, Stochastic feedback, non-linear families of Markov processes, and...

We present an empirical study of high frequency Australian equity data examining the behaviour of distribution tails and the existence of long memory. A method is presented allowing us to deal with Australian Stock Exchange data by splitting it into two separate data series representing an...