Many empirical studies find a negative correlation between the returns on the nominal spot exchange rate and the lagged forward discount. This forward discount anomaly implies that the current forward rate is a biased predictor of the future spot rate. A large number of studies in the existing...

This paper investigates persistence in high-frequency, intraday data (and also daily and monthly ones) in the case of the EuroStoxx 50 futures over the period from 2002 to 2018 (720 million trade records) using R/S analysis and the Hurst exponent as a measure of persistence. The results indicate...

This paper derives the memory of the product series xtyt, where xt and yt are stationary long memory time series of orders dx and dy, respectively. Special attention is paid to the case of squared series and products of series driven by a common stochastic factor. It is found that the memory of...

Short memory models contaminated by level shifts have similar long-memory features as fractionally integrated processes. This makes it hard to verify whether the true data generating process is a pure fractionally integrated process when employing standard estimation methods based on the...

The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility, which accommodates level shifts, day-of-the-week...

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...

The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation guarantees the positivedefiniteness of the...

Long memory and nonlinearity are two key features of some macroeconomic time series which are characterized by persistent shocks that seem to rise faster during recession than it falls during expansion. A variant of nonlinear time series model together with long memory are used to examine these...

Although the properties of the ARCH(∞) model are well investigated, the existence of long memory FIGARCH and IARCH solution was not established in the literature. These two popular ARCH type models which are widely used in applied literature, were causing theoretical controversy because of the...