The analysis of long memory processes in capital markets has been one of the topics in finance, since the existence of the market memory could implicate the rejection of an efficient market hypothesis. The study of these processes in finance is realized through Hurst exponent and the most...

Since Mandelbrot (1963) [2] highlighted the fact that data on the yield of financial assets exhibit leptokurtosis, different distributions have been presented as alternatives to the normal distribution. So far little consideration has been given to the capacity that these distributions have to...