method is based on the comparison of standard log-periodogram regression estimation of the memory parameter with its tapered … parameter under the null, and is therefore estimated by bootstrapping. The test is applied to inflation rates of three …

method is based on the comparison of standard log-periodogram regression estimation of the memory parameter with its tapered … parameter under the null, and is therefore estimated by bootstrapping. The test is applied to inflation rates of three …

This study tests for a break in the persistence of EMU government bond yield spreads examining data from France, Italy … between 2006 and 2008. The persistence of the yield spreads against German government bonds has increased significantly after … positive excess kurtosis and GARCH-e ects when persistence increases. …

-varying volatility of the data generating process can have rather adverse effects when inferring about its persistence; e.g. unit root …

Several modified estimation methods of the memory parameter have been introduced in the past years. They aim to … performance of nine semiparametric estimation methods. Among them are two standard methods, four modified approaches to account … the log-absolute return series of the S&P 500 shows that the estimation results combined with a long-memory test indicate …

Several modified estimation methods of the memory parameter have been introduced in the past years. They aim to … performance of nine semiparametric estimation methods. Among them are two standard methods, four modified approaches to account … the log-absolute return series of the S&P 500 shows that the estimation results combined with a long-memory test indicate …