The paper derives a Multivariate Asymmetric Long Memory conditional volatility model with Exogenous Variables (X), or the MALMX model, with dynamic conditional correlations, appropriate regularity conditions, and associated asymptotic theory. This enables checking of internal consistency and...

We consider temporal aggregation of stationary and nonstationary time series with short memory, long memory and antipersistence, within the framework of fractional autoregressive processes. Asymptotically, long memory and antipersistence are preserved whereas short memory components vanish. In...

The research used a long memory or Autoregressive Fractionally Integrated Moving Average model to study and forecast crude oil prices using weekly West Texas Intermediate and Brent series for the period 15/5/1987 to 20/12/2013. Fractional differencing Methods such as Local Whittle Estimator and...