The variance ratio test statistic, which is based on k-period differences of the data, iscommonly used in empirical finance and economics to test the random walk hypothesis. We obtain the asymptotic power function of the variance ratio test statistic when the differencing period k is increasing...

We discuss some of the issues pertaining to modelling and estimating long memory in volatility. Themain focus is on semi parametric estimation of the memory parameter in the long memory stochasticvolatility model. We present the asymptotic properties of the log periodogram regression estimator...

We study the small sample behaviour of two goodness-of-fit tests for time series models whichhave been proposed recently in the literature. Both tests are generalizations of the popular Box-Ljung-Pierce portmanteau test, one in the time domain and the other in the frequency domain.The tests are...

We consider a recently proposed method of estimating the tail index and testing thegoodness-of-fit of dependent stable processes. Through Monte Carlo simulations, weevaluate the ability of the procedure to distinguish between stable and non-stable processesin the presence of non-linear...

We study the asymptotic distribution of the sample standardized spectral distribution function when the observed series is a conditionally heteroscedastic martingale difference. We show that the asymptotic distribution is no longer a Brownian bridge but another Gaussian process. Furthermore,...

Difficulties with inference in predictive regressions are generally attributed to strong persistence in the predictor series. We show that the major source of the problem is actually the nuisance intercept parameter and propose basing inference on the Restricted Likelihood,which is free of such...