In this paper, nine memory parameter estimation procedures for the fractionally integrated I(d) process, semi-parametric and parametric, which prevail in the existing literature are reviewed ; through the simulation study under the ARFIMA (p,d,q) setting we cast a light on the finite sample...

Testing the fractionally integrated order of seasonal and nonseasonal unit roots is quite important for the economic and financial time series modeling. In this article, the widely used Robinson's (1994) test is applied to various well-known long memory models. Via Monte Carlo experiments, we...

Long memory processes have been extensively studied over the past decades. When dealing with the financial and economic data, seasonality and time-varying long-range dependence can often be observed and thus some kind of non-stationarity can exist inside financial data sets. To take into account...

Testing the fractionally integrated order of seasonal and non-seasonal unit roots is quite important for the economic and financial time series modelling. In this paper, Robinson test (1994) is applied to various well-known long memory models. Via Monte Carlo experiments, we study and compare...

Testing the fractionally integrated order of seasonal and non-seasonal unit roots is quite important for the economic and financial time series modelling. In this paper, Robinson test (1994) is applied to various well-known long memory models. Via Monte Carlo experiments, we study and compare...

Long memory processes have been extensively studied over the past decades. When dealing with the financial and economic data, seasonality and time-varying long-range dependence can often be observed and thus some kind of non-stationarity can exist inside financial data sets. To take into account...

In this paper, nine memory parameter estimation procedures for the fractionally integrated I(d) process, semi-parametric and parametric, which prevail in the existing literature are reviewed ; through the simulation study under the ARFIMA (p,d,q) setting we cast a light on the finite sample...

Foreign exchange rate plays an important role in international finance. This paper examines unit roots and the long range dependence of 23 foreign exchange rates using Robinson's (1994) test, which is one of the most efficient tests when testing fractional orders of seasonal/cyclical long memory...

This paper focuses on a procedure to test for structural changes in the first two moments of a time series, when no information about the process driving the breaks is available. To approximate the process, an orthogonal Bernstein polynomial is used and testing for the null is achieved either by...

In this paper we propose new option pricing models based on class of models with jump contain in the Lévy-type based models (NIG-Lévy, Merton-jump (Merton 1976) and Duan based model (Duan 2007)). By combining these different class of models with several volatility dynamics of the GARCH type,...