/S analysis with the Hurst exponent method and fractional integration) are used to analyse persistence of the VIX index over the …This paper investigates the degree of persistence of market fear. Specifically, two different long-memory approaches (R … properties change over time: in normal periods it exhibits anti-persistence (there is a negative correlation between its past and …

. The results indicate that persistence is higher at lower frequencies, for both returns and their volatility. This is true …This paper investigates persistence in financial time series at three different frequencies (daily, weekly and monthly …

. The results indicate that persistence is higher at lower frequencies, for both returns and their volatility. This is true …This paper investigates persistence in financial time series at three different frequencies (daily, weekly and monthly …

The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this … paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility …, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model …

-varying volatility of the data generating process can have rather adverse effects when inferring about its persistence; e.g. unit root … conditional heteroskedasticity). The paper explores the influence of time-varying volatility on fractionally integrated processes …. Concretely, we discuss how to model long memory in the presence of time-varying volatility, and analyze the effects of such …

We consider changes in the degree of persistence of a process when the degree of persistence is characterized as the …

issue of estimation inaccuracy of the long memory parameter and the issue of spurious breaks in finite sample. Insights from … substantial improvement over existing prediction methods. An empirical application to the realized volatility of three exchange …