This paper analyzes the cyclical behavior of Dow Jones by testing the existence of long memory through a new class of semiparametric ARFIMA models with HYGARCH errors (SEMIFARMA-HYGARCH); this class includes nonparametric deterministic trend, stochastic trend, short-range and long-range...

The main purpose of this paper is to consider the multivariate GARCH (MGARCH) framework to model the volatility of a multivariate process exhibiting long term dependence in stock returns. More precisely, the long term dependence is examined in the …first conditional moment of US stock returns...

In this paper we perform a Monte Carlo study based on three well-known semiparametric estimates for the long memory fractional parameter. We study the efficiency of Geweke and Porter-Hudak, Gaussian semiparametric and wavelet Ordinary Least-Square estimates in both stationary and non stationary...

Weather derivatives are financial contracts for which the underlying is not a traded asset. Therefore, they cannot be priced by the traditional financial theory based on the hedging portfolio and on the arbitrage-free argument. Some authors suggest to use the actuarial pricing approach to value...

This paper examines the relationships between the CAC40 index, the Dow Jones index and the Euro/USD exchange rate using daily data over the period 1999-2008. We find that these variables are I(1) nonstationary series, but they are fractionally cointegrated: equilibrium errors exhibit slow mean...

The aim of this paper is to study the dynamics of the US real effective exchange rate by capturing nonlinearity and long memory features. In this context, we used the family of fractionally integrated STAR (FISTAR) models proposed by van Dijk, Franses and Paap (2002) to the case when the...

We give the limiting distribution of the least squares estimator in the polynomial regression model driven by some long memory processes. We prove that with an appropriate normalization, the estimation error converges, in distribution, to a random vector which components are a mixture of...

The aim of this paper is to study the dynamics of the US real effective exchange rate by capturing nonlinearity and long memory features. In this context, we use the family of fractionally integrated STAR (FISTAR) models proposed by van Dijk, Franses and Paap (2002) in the case when the...

Inspired by the recent literature on aggregation theory, we aim at relating the long range correlation of the stocks return volatility to the heterogeneity of the investors' expectations about the level of the future volatility. Based on a semi-parametric model of investors' anticipations, we...

The recent empirical literature supports the view that most of the international stock prices are not pairwise cointegrated. However, by using fractional cointegration techniques, this paper shows that France, Germany, Hong Kong, and Japan stock prices indices are pairwise fractionally...