The range of daily asset prices is often used as a measure of volatility. Using a CARRX (conditional autoregressive range with exogenous variables) model, and the parsimony principle, the paper investigates the factors affecting the volatilities of Asian equity markets. Since the beginning of...

We show that Akaike’s Information Criterion (AIC) and its variants are asymptotically efficient in integrated autoregressive processes of infinite order (AR(∞)). This result, together with its stationary counterpart established previously in the literature, ensures that AIC can ultimately...

Since the seminal work by Engle and Russell, (1998), numerous studies have applied their standard/linear ACD(m,q) model (autoregressive conditional duration model of orders m and q) to fit the irregular spaced transaction data. Recently, Araichi et al. (2013) also applied the ACD model to claims...

This paper considers the short- and long-memory linear processes with GARCH (1,1) noises. The functional limit distributions of the partial sum and the sample autocovariances are derived when the tail index α is in (0,2), equal to 2, and in (2,∞), respectively. The partial sum weakly...