In this paper we consider the asymptotic distribution of S -estimators in the nonlinear regression model with long-memory error terms. S - estimators are robust estimates with a high breakdown point and good asymptotic properties in the i.i.d case. They are constructed for linear regression. In...

In this paper we compare the price of an option with one year maturity of the German stock index DAX for several volatility models including long memory and leverage effects. We compute the price by applying a present value scheme as well as the Black-Scholes and Hull-White formulas which...

We show that the power of the KPSS-test against integration, as measured by divergence rates of the test statistic under the alternative, remains the same when residuals from an OLS-regression rather than true observations are used. The divergence rate is independent of the order of integration...