A linear null relationship between nominal returns and inflation is tested against threshold alternatives using quarterly and monthly data for 39 different countries. These threshold alternatives and the linear nulls are then estimated to unover the nature of linear and threshold relationships...

Long memory in the volatility of individual return series and in the volatility of equal-weighted portfolios constituted by the individual return series is analyzed to see if the memory characteristic of the volatility representation is correlated with the portfolio characteristics of size,...

Monte Carlo simulation methods are used to generate independent series with short memory in volatility. Partial sums of there short memory series are formed and the volatilities of these partial sums are tested for long memory. Aggregating series with short memory valatilities results in indices...