We apply a new approach to test the long-run purchasing power parity theory of real exchange rate movements for the UK. The question of whether real exchange rates have a unit root or are mean reverting is set in the more general framework of fractionally differenced time-series models. Our...

The present paper discusses the stochastic stationarity of New Zealand exchange rates in light of new time series methods and new tests. The question of whether the real exchange rates have a unit root or are mean reverting is set in the general framework of fractionally integrated models. The...

This paper proposes spectral and asymmetric-volatility based methods for cluster analysis of stock returns. Using the information about both the periodogram of the squared returns and the estimated parameters in the TARCH equation, we compute a distance matrix for the stock returns. Clusters are...

Various authors claim to have found evidence of stochastic long‐memory behavior in futures’ contract returns using the Hurst statistic. This paper reexamines futures’ returns for evidence of persistent behavior using a biased‐corrected version of the Hurst statistic, a nonparametric...

Time series displaying long-range correlations have been observed in numerous fields, such as biology, psychology, hydrology, and economics, among others. For rhythmic movements such as tapping tasks, the Wing–Kristofferson model offers a decomposition of the inter-response intervals based on...