We analyse the time series properties of the S&P500 dividend--price ratio in the light of long-memory, structural breaks and rational bubbles. We find an increase in the long-memory parameter in the early 1990s by applying a test recently proposed by Sibbertsen and Kruse [<italic>J. Time Series Anal.</italic>,...

Long memory has been widely documented for realized financial market volatility. As a novelty, we consider daily realized asset correlations and we investigate whether the observed persistence is (i) due to true long memory (i.e. fractional integration) or (ii) artificially generated by some...

Linearity testing against smooth transition autoregressive (STAR) models when deterministic trends are potentially present in the data is considered in this work. Our findings show, in contrast to results recently reported in Zhang (2012), that linearity tests against STAR models lead to useful...

We study the empirical behaviour of semi-parametric estimation for long-memory models when the true data generating process exhibits a change in persistence. Evidence for long memory is likely to be found. Procedures for discrimination between different models are proposed.

This paper examines the roles of order flow (reflecting private information) and news (reflecting public information) in explaining exchange rate volatility. Analyzing four months of a bank's high frequency dollar/euro trading, three different kinds of order flow are used in addition to seasonal...

Main description: Der Autor untersucht, ob sich im Zeitablauf trendmäßige Entwicklungen, insbesondere ein signifikanter Anstieg der Wechselkursvolatilität feststellen lassen, und wieweit diese durch das gewählte Wechselkursregime beeinflusst werden. Im Gegensatz zu bisherigen Arbeiten liegt...