The estimation and the analysis of long memory parameters have mainly focused on the analysis of long-range dependence in stock return volatility using traditional time and spectral domain estimators of long memory. The definitive ubiquity and existence of long memory in the volatility of stock...

This paper analyzes the co-movements and integration of some select Asian foreign exchange markets using both time series and time-frequency approaches. The correlation structure between forex markets, and the time domain information on varying correlations, is captured using the multivariate...