This paper focuses on nominal exchange rates, specifically the US dollar rate vis-à-vis the Euro and the Japanese Yen at a daily frequency. We model both absolute values of returns and squared returns using long-memory techniques, being particularly interested in volatility modelling and...

This paper revisits the Fisher hypothesis by estimating fractional integration and cointegration models that are more general than the standard ones based on the classical I(0)/I(1) dichotomy. Two sets of results are obtained under the alternative assumptions of white noise and Bloomfield (1973)...

This paper investigates persistence in financial time series at three different frequencies (daily, weekly and monthly). The analysis is carried out for various financial markets (stock markets, FOREX, commodity markets) over the period from 2000 to 2016 using two different long memory...

This paper revisits the Fisher hypothesis by estimating fractional integration and cointegration models that are more general than the standard ones based on the classical I(0)/I(1) dichotomy. Two sets of results are obtained under the alternative assumptions of white noise and Bloomfield (1973)...

This paper applies a fractional integration framework to analyse the stochastic behaviour of two Russian stock market volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period 2010-2018. The empirical findings are consistent...

This paper analyzes the semiparametric estimation of multivariate long-range dependent processes. The class of spectral densities considered is motivated by and includes those of multivariate fractionally integrated processes. The paper establishes the consistency of the multivariate Gaussian...

This paper proposes two simple tests that are based on certain time domain properties of I(d) processes. First, if a time series follows an I(d) process, then each subsample of the time series also follows an I(d) process with the same value of d. Second, if a time series follows an I(d)...

This chapter builds on previous work by Bhardwaj and Swanson (2004) who address the notion that many fractional I(d) processes may fall into the empty box" category, as discussed in Granger (1999). However, rather than focusing primarily on linear models, as do Bhardwaj and Swanson, we analyze...

This paper analyses the long memory properties of quarterly real output per capita in the US (1948Q1 ¿ 2008Q3) using non-parametric, semi-parametric and parametric techniques. The results vary substantially depending on the methodology employed. Evidence of mean reversion is obtained in a...

In this paper we specify a multi-factor long-memory process that enables us to estimate the fractional differencing parameters at each frequency separately, and adopt this framework to model quarterly prices in three European countries (France, Italy and the UK). The empirical results suggest...