)ARCH models cannot capture this LM, long term dependence or risk persistence, because these models have finite lag lengths, while …This paper discusses various ways of measuring the persistence or Long Memory (LM) of financial market risk in both its … available in various scientific disciplines to measure the LM persistence of time series. It also discusses why Markov and (G …

This paper discusses various ways of measuring the degree of persistence or Long Memory (LM) of financial market risk … enlightening comparison of the various critical exponents available in various scientific disciplines to measure the LM persistence … of time series. It also discusses why Markov- and (G)ARCH models cannot capture this LM, long term dependence or risk …

inverse persistence term structure in the sense that the short term interest rates show the highest persistence, while the … long term rates are closer to the GBM's neutral persistence. The simulations of the identified MMAR are compared with the …

Persistence is the speed with which a time series returns to its mean after a shock. Although several measures of … persistence have been proposed in the literature, when they are empirically applied, the different measures indicate incompatible … messages, as they differ both in the level and the implied evolution of persistence. One plausible reason why persistence …

of persistence, and also carries out appropriate break tests. Further, the possible co-movement of this index between …

fact around 1 in all specified models, which implies a high degree of persistence of this component. Finally, the order of …

Persistence is the speed with which a time series returns to its mean after a shock. Although several measures of … persistence have been proposed in the literature, when they are empirically applied, the different measures indicate incompatible … messages, as they differ both in the level and the implied evolution of persistence. One plausible reason why persistence …

conditional variances determine the persistence of the transmitted volatility innovations. In particular, the effect of a foreign …

method for simulating Geometric Brownian Motion processes with long-term dependence, also referred as Fractional Geometric …