Though the econometrics literature on this area is extensive, in Peru few studies have been dedicated to the analysis of Önancial returns in general and volatility in particular. As part of an empirical research agenda suggested by Humala and RodrÌguez (2013), this paper represents one of the...

A major issue in financial economics is the behaviour of stock returns over long horizons. This study provides empirical evidence of the long-range behaviour of various speculative returns. Using different techniques such as R/S and modified R/S analysis, detrended fluctuation analysis (DFA),...

Three-scaled windowed variance methods (standard, linear regression detrended, and bridge detrended) for estimating the Hurst coefficient (H) are evaluated. The Hurst coefficient, with 0 H 1, characterizes self-similar decay in the time-series autocorrelation function. The scaled windowed...

Gaussian time-series models are often specified through their spectral density. Such models pose several computational challenges, in particular because of the non-sparse nature of the covariance matrix. We derive a fast approximation of the likelihood for such models. We use importance sampling...

A wide variety of processes are thought to show “long-range persistence”, specifically an autocorrelation function with power-law decay. A variety of methods have been proposed to quantify this power-law decay, and weather and climate systems, among others, have been claimed to show...

We present a nonlinear stochastic differential equation (SDE) which mimics the probability density function (PDF) of the return and the power spectrum of the absolute return in financial markets. Absolute return as a measure of market volatility is considered in the proposed model as a...

We consider the estimation of the location of the pole and memory parameter, λ0 and α respectively, of covariance stationary linear processes whose spectral density function f(λ) satisfies f(λ) ∼ C|λ − λ0|−α in a neighbourhood of λ0. We define a consistent estimator of λ0 and...

A general moment bound for sums of products of Gaussian vector’s functions extending the moment bound in Taqqu (1977, Lemma 4.5) [28] is established. A general central limit theorem for triangular arrays of nonlinear functionals of multidimensional non-stationary Gaussian sequences is proved....

Testing the fractionally integrated order of seasonal and non-seasonal unit roots is quite important for the economic and financial time series modelling. In this paper, Robinson test (1994) is applied to various well-known long memory models. Via Monte Carlo experiments, we study and compare...