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An Approximate Wavelet MLE of Short- and Long-Memory Parameters

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By design a wavelet's strength rests in its ability to localize a process simultaneously in time-scalespace. The wavelet's ability to localize a time series in time-scale space directly leads to the computationalefficiency of the wavelet representation of a N £ N matrix operator by allowing the...

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Long memory analysis : an empirical investigation

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The long memory of the forward premium during the 1920s’ float : evidence from the European foreign exchange market

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Forecasting trading volume in the Chinese stock market based on the dynamic VWAP

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An alternative reference scenario for global CO2 emissions from fuel consumption : an ARFIMA approach

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Predicting BRICS stock returns using ARFIMA models

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Can we distinguish regime switching from long memory? : a simulation evidence

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Are frontier stock markets more inefficient than emerging stock markets?

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Adaptive ARFIMA models with applications to inflation

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Higher-order improvements of the sieve bootstrap for fractionally integrated processes

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