Much time series data are recorded on economic and financial variables. Statistical modeling of such data is now very well developed, and has applications in forecasting. We review a variety of statistical models from the viewpoint of "memory", or strength of dependence across time, which is a...

The aim of this work is to take into account the effects of long memory in volatility on derivative hedging. This idea is an extension of the work by Fedotov and Tan [Stochastic long memory process in option pricing, Int. J. Theor. Appl. Finance 8 (2005) 381–392] where they incorporate...