We consider nonparametric regression for bivariate circular time series with long-range dependence. Asymptotic results for circular Nadaraya–Watson estimators are derived. Due to long-range dependence, a range of asymptotically optimal bandwidths can be found where the asymptotic rate of...

Weather and temperatures vary in ways that are difficult to explain and predict precisely. In this article we review data on temperature variations in the past as well possible reasons for these variations. Subsequently, we review key properties of global climate models and statistical analyses...

We employ a number of parametric and non-parametric techniques toestablish the existence of long-range dependence in daily interbank o errates for four countries. We test for long memory using classical R=Sanalysis, variance-time plots and Lo's (1991) modi ed R=S statistic. Inaddition we...

This paper analyses the implicit dynamics underlying the interest rate structure inKenya. For this purpose we use data on four commercial banks? interest rates (Deposits,Savings, Lending and Overdraft) together with the 91-Day Treasury Bill rate, for thetime period July 1991 ? August 2010, and...

This paper considers a simple Continuous Beliefs System (CBS) toinvestigate the effects on price dynamics of several behavioralassumptions: (i) herd behaviour; (ii) a-synchronous updating ofbeliefs; and (iii) heterogeneity in time horizons (memory) amongagents. The recently introduced concept of...

Purpose – The purpose of this paper is to test the efficient market hypothesis for major Indian sectoral indices by means of long memory approach in both time domain and frequency domain. This paper also tests the accuracy of the detrended fluctuation analysis (DFA) approach and the local...

Using the CRSP (Center for Research in Security Prices) daily stock return data, we revisit the question of whether or not actual stock market prices exhibit long-range dependence. Our study is based on an empirical investigation reported in Teverovsky, Taqqu and Willinger [33] of the modified...

This paper considers a simple Continuous Beliefs System (CBS) toinvestigate the effects on price dynamics of several behavioralassumptions: (i) herd behaviour; (ii) a-synchronous updating ofbeliefs; and (iii) heterogeneity in time horizons (memory) amongagents. The recently introduced concept of...

Let (Xk)k≥1 be a Gaussian long-range dependent process with EX1=0, EX12=1 and covariance function r(k)=k−DL(k). For any measurable function G let (Yk)k≥1=(G(Xk))k≥1. We study the asymptotic behaviour of the associated sequential empirical process (RN(x,t)) with respect to a weighted...

We obtain limit theorems for a class of nonlinear discrete-time processes X(n) called the kth order Volterra processes of order k. These are moving average kth order polynomial forms: X(n)=∑0i1,…,ik∞a(i1,…,ik)ϵn−i1…ϵn−ik, where {ϵi} is i.i.d. with Eϵi=0, Eϵi2=1, where a(⋅)...