Interactions between economic development and financial development are studied by looking at the roles of financial institutions in selecting R&D projects (including for both imitation and innovation). Financial development is regarded as the evolution of the financing regimes. The...

Interactions between economic development and financial development are studied by looking at the roles of financial institutions in selecting R&D projects (including for both imitation and innovation). Financial development is regarded as the evolution of the financing regimes. The...

We examine whether the information contained in social media (Twitter & Facebook) and web search queries (Google) influences financial markets. Using a multivariate system and focussing on Eurozone’s peripheral countries, the GIIPS (Greece, Ireland, Italy, Portugal and Spain), we show that...

The aggregation procedure when a sample of length N is divided into blocks of length m = o(N), m ® ¥ and observations in each block are replaced by their sample mean, is widely used in statistical inference. Taqqu, Teverovsky and Willinger (1995), Teverovsky and Taqqu (1997) introduced an...

For a particular conditionally heteroscedastic nonlinear (ARCH) process for which the conditional variance of the observable sequence rt is the square of an inhomogeneous linear combination of rs, s < t, we give conditions under which, for integers 1 > 2, r' has long memory autocorrelation and normalized partial sums of ri converge to fractional...</t,>

For linear processes, semiparametric estimation of the memory parameter, based on the log-periodogram and local Whittle estimators, has been exhaustively examined and their properties are well established. However, except for some specific cases, little is known about the estimation of the...

The semiparametric local Whittle or Gaussian estimate of the long memory parameter is known to have especially nice limiting distributional properties, being asymptotically normal with a limiting variance that is completely known. However in moderate samples the normal approximation may not be...

Moving from univariate to bivariate jointly dependent long memory time series introduces a phase parameter (γ), at the frequency of principal interest, zero; for short memory series γ = 0 automatically. The latter case has also been stressed under long memory, along with the "fractional...

Much time series data are recorded on economic and financial variables. Statistical modelling of such data is now very well developed, and has applications in forecasting. We review a variety of statistical models from the viewpoint of ‘memory’, or strength of dependence across time, which...