This paper examines long-term dependence in times between trades on financial markets. The autocorrelation functions of several intertrade duration series show a slow, hyperbolic rate of decay typical for long memory processes. For example, a shock to times between trades of the Alcatel stock on...

In a nonlinear framework, temporal dependence of time series is sensitive to transformations. The aim of this paper is to examine in detail the relationships between various forms of persistence and nonlinear transformations of stationary and nonstationary processes. We introduce the concept of...