Hassani, Hossein; Yarmohammadi, Masoud; Marvian, Leila - In: Risks : open access journal 11 (2023) 6, pp. 1-15
Long-memory models are frequently used in finance and other fields to capture long-range dependence in time series data … using the sample autocorrelation function (ACF) to identify long-memory processes. While the ACF establishes the theoretical … definition of a long-memory process, it is not possible to determine long memory by summing the sample ACFs. Hassani's − 1 …