We establish sufficient conditions on durations that arestationary with finite variance and memory parameter $d \in[0,1/2)$ to ensure that the corresponding counting process $N(t)$satisfies $Var N(t) \sim C t^{2d+1}$ ($Cgt;0$) as $t\rightarrow \infty$, with the same memory parameter $d...

We establish sufficient conditions on durations that are stationary with finite variance and memory parameter d 2 [0; 1=2) to ensure that the corresponding counting process N(t) satisfies VarN(t) raquo; Ct2d+1 (C gt; 0) as t ! 1, with the same memory parameter d 2 [0; 1=2) that was assumed for the...

Studies of predictive regressions analyze the case where yt is predicted by xt-1 with xt being first-order autoregressive, AR(1). Under some conditions, the OLS- estimated predictive coefficient is known to be biased. We analyze a predictive model where yt is predicted by xt-1, xt-2,... xt-p...