The financial rates of return from Latin American stock and currency markets are found to be non-normal, non-stationary, non-ergodic and long-term dependent, i.e., they have long memory. The degree of long- term dependence is measured by monofractal (global) Hurst exponents from wavelet...

This study examines the long memory properties of composite, equity, mortgage, and hybrid real estate investment trust (REIT) returns by using semi-parametric and wavelet estimators. In particular, this paper applies the GPH semi-parametric estimator, the Haar and the Daubechies wavelet...

In this paper we perform a Monte Carlo study based on three well-known semiparametric estimates for the long memory fractional parameter. We study the efficiency of Geweke and Porter-Hudak, Gaussian semiparametric and wavelet Ordinary Least-Square estimates in both stationary and non stationary...

In this paper we investigate short-run co-movements before and after the Lehman Brothers’ collapse among the volatility series of US and a number of European countries. The series under investigation (implied and realized volatility) exhibit long-memory and, in order to avoid...

This work studies wavelet-based Whittle estimator of the Fractionally Integrated Exponential Generalized Autoregressive Conditional Heteroscedasticity (FIEGARCH) model, often used for modeling long memory in volatility of financial assets. The newly proposed estimator approximates the spectral...