The paper presents a comparative study on the performance of commonly used estimators of the fractional order of integration when data is contaminated by noise. In particular, measurement errors, additive outliers, temporary change outliers, and structural change outliers are addressed. It...

This paper proposes a new testing procedure for the degree of fractional integration of a time series inspired on the unit root test of Dickey-Fuller (1979). The composite null hypothesis is that of d=d0 against d<d0. The test statistics is the same as in Dickey-Fuller test, exploiting the fact that if the process, under study, is I(d0) then the (-1+d0)th differenced series is I(1) under the null d=d0. If d>=d0, using the generalization of Sowell's results (1990), we propose a test based...</d0.>

We show results of local fluctuation analysis, probability distributions, and fractional integration analysis for nominal exchange rates of the Polish zloty versus two foreign currencies (US dollar and German mark/euro). The results confirm the rapid change of the volatility pattern in August...