Showing 1 - 10 of 11
Long-range dependence in volatility is one of the most prominent examples of applications in financial market research involving universal power laws. Its characterization has recently spurred attempts at theoretical explanation of the underlying mechanism. This paper contributes to this recent...
Persistent link: https://www.econbiz.de/10005343031
Unlike equity returns, many fixed-income return and volatility measures appear to display considerable long memory. Connolly and G½ner (working paper, 1999) show this holds particularly strongly for shorter-maturity Treasury securities in the U.S. They show that fixed-income return and...
Persistent link: https://www.econbiz.de/10005345608
The estimation of the memory parameter in perturbed long memory series has recently attracted attention motivated especially by the strong persistence of the volatility in many financial and economic time series and the use of Long Memory in Stochastic Volatility (LMSV) processes to model such a...
Persistent link: https://www.econbiz.de/10005706257
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This paper shows that the recent literature that tests for a long-run Fisher relationship using cointegration analysis is seriously flawed. Cointegration analysis assumes that the variables in question are I(1) or I(d) with the same d. Using monthly post-war U.S. data from 1959-1997, we show...
Persistent link: https://www.econbiz.de/10005132854
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In the literature, there are not satisfactory methods for measuring and presenting the performance of confidence regions. In this paper, techniques for measuring effectiveness of confidence regions and for the graphical display of simulation evidence concerning the coverage and effectiveness of...
Persistent link: https://www.econbiz.de/10005170548
The paper revisits dynamic term structure models (DTSMs) and proposes a new way in dealing with the limitation of the classical affine models. In particular, this paper expands the flexibility of the DTSMs by applying a fractional Brownian motion as the governing force of the state variable...
Persistent link: https://www.econbiz.de/10005537391