This paper examines persistence in the Ukrainian stock market during the recent financial crisis. Using two different … persistence is not the same in different stages of the financial crisis. Therefore trading strategies might have to be modified …

examined by Ding, Granger and Engle (1993) that suggests that ARFIMA models estimated using a variety of standard estimation … rolling estimation schemes. The strongest evidence in favor of ARFIMA models arises when various transformations of 5 major …

The long memory characteristic of financial market volatility is well documentedand has important implications for … volatility forecasting and optionpricing. When fitted to the same data, different volatility models calculate theunconditional … variance differently and could have very different volatility persistentparameters. Hence, they produce very different …

horizons and for recursive and rolling estimation schemes. We find that the business cycle does not seem to have an effect on …

We consider changes in the degree of persistence of a process when the degree of persistence is characterized as the …

of a daily risk-return tradeoff in the FX market based on the GARCH, realized, and range volatility estimators. The …