Econometric issues in the estimation of persistence in macroeconomic time series are considered. In particular, the relative merits of estimates based on ARMA models, ARFIMA models and nonparametric procedures are investigated. It is shown that ARFIMA models are inappropriate for the purpose of...

This paper proposes new estimators for the daily return variance which are based on common intraday statistics (opening, high, low, and closing prices). These estimators utilize information contained in products of absolute values of uncorrelated intraday statistics. An empirical study of nine...

The finite sample properties of three semiparametric estimators, several versions of the modified rescaled range, MRR, and three versions of the GHURST estimators are investigated. Their power and size for testing for long memory under short-run effects, joint short and long-run effects,...

A Monte Carlo study is undertaken to analyze the small sample properties of two time domain and two frequency domain estimators for low order autoregressive fractionally integrated moving average Gaussian models, ARFIMA (p,d,q). More specifically (1,0,0), (0,0,1), (0,d,0), various (2,0,0),...

A Monte Carlo study is undertaken to analyze the small sample properties of two time domain and two frequency domain estimators for low order autoregressive fractionally integrated moving average Gaussian models, ARFIMA (p,d,q). More specifically (1,0,0), (0,0,1), (0,d,0), various (2,0,0),...