In this paper we compare the price of an option with one year maturity of the German stock index DAX for several volatility models including long memory and leverage effects. We compute the price by applying a present value scheme as well as the Black-Scholes and Hull-White formulas which...

We provide a method for distinguishing long-range dependence from deterministic trends such as structural breaks. The method is based on the comparison of standard log-periodogram regression estimation of the memory parameter with its tapered counterpart. The difference of these estimators...

We consider hypothesis testing in a general linear time series regression framework when the possibly fractional order of integration of the error term is unknown. We show that the approach suggested by Vogelsang (1998a) for the case of integer integration does not apply to the case of...

Detecting the number of breaks in the mean can be challenging when it comes to the long memory framework. Tree-based procedures can be applied to time series when the location and number of mean shifts are unknown and estimate the breaks consistently though with possible overfitting. For pruning...

We consider hypothesis testing in a general linear time series regression framework when the possibly fractional order of integration of the error term is unknown. We show that the approach suggested by Vogelsang (1998a) for the case of integer integration does not apply to the case of...

Limit theory involving stochastic integrals is now widespread in time series econometrics and relies on a few key results on function space weak convergence. In establishing weak convergence of sample covariances to stochastic integrals, the literature commonly uses martingale and semimartingale...

We study the empirical behaviour of semi-parametric estimation for long-memory models when the true data generating process exhibits a change in persistence. Evidence for long memory is likely to be found. Procedures for discrimination between different models are proposed.

This paper proposes simple Hausman-type tests to check for bias in the log-periodogram regression of a time series believed to be long memory. The statistics are asymptotically standard normal on the null hypothesis that no bias is present, and the tests are consistent.

This paper proposes simple Hausman-type tests to check for bias in the log-periodogram regression of a time series believed to be long memory. The statistics are asymptotically standard normal on the null hypothesis that no bias is present, and the tests are consistent. The use of the tests in...

This paper discusses the existence of spurious long memory in common nonlinear time series models, namely Markov switching and threshold models. We describe the asymptotic behavior of the process in terms of autocovariance and autocorrelation function and support the theoretical evidences by...