)ARCH models cannot capture this LM, long term dependence or risk persistence, because these models have finite lag lengths, while …This paper discusses various ways of measuring the persistence or Long Memory (LM) of financial market risk in both its … available in various scientific disciplines to measure the LM persistence of time series. It also discusses why Markov and (G …

This paper discusses various ways of measuring the degree of persistence or Long Memory (LM) of financial market risk … enlightening comparison of the various critical exponents available in various scientific disciplines to measure the LM persistence … of time series. It also discusses why Markov- and (G)ARCH models cannot capture this LM, long term dependence or risk …

inverse persistence term structure in the sense that the short term interest rates show the highest persistence, while the … long term rates are closer to the GBM's neutral persistence. The simulations of the identified MMAR are compared with the …

modelling state dependence in the dynamics of the volatility process. However, their application is still limited by the severe … difficulties arising at the estimation and identification stages. In order to allow for time varying persistence in the volatility …

The multifractal model of asset returns captures the volatility persistence of many financial time series. Its … Hurst exponent of slight persistence 0.5<0.7, these spectra tend to be skewed towards anti-persistence in the returns. …