This paper examines the relationships between the CAC40 index, the Dow Jones index and the Euro/USD exchange rate using daily data over the period 1999-2008. We find that these variables are I(1) nonstationary series, but they are fractionally cointegrated: equilibrium errors exhibit slow mean...

Apart from the well-known, high persistence of daily financial volatility data, there is also a short correlation structure that reverts to the mean in less than a month. We find this short correlation time scale in six different daily financial time series and use it to improve the short-term...

According to the Mixture of Distributions Hypothesis (MDH), returns volatility and trading volume are driven by a common news arrival variable. Consequently, these two variables should be correlated. This paper extends, and to some extent, globalises the concept of a common information arrival...

We consider processes with second order long range dependence resulting from heavy tailed durations. We refer to this phenomenon as duration- driven long range dependence (DDLRD), as opposed to the more widely studied linear long range dependence based on fractional differencing of an $iid$...

We consider a common components model for multivariate fractional cointegration, in which the s=1 components have different memory parameters. The cointegrating rank is allowed to exceed 1. The true cointegrating vectors can be decomposed into orthogonal fractional cointegrating subspaces such...

The method proposed in this chapter is making use of the bispectrum transformation to estimate the level of integration of a fractionally integrated time series. Bispectrum ransformation transforms the series into a two dimensional frequency space, and thus has higher information content...

We study the rate of convergence of moment conditions that have been commonly used in the literature for Generalised Method of Moments (GMM) estimation of short memory latent variable volatility models. We show that when the latent variable possesses long memory, these moment conditions have an...

By design a wavelet's strength rests in its ability to simultaneously localize a process in time-scale space. The wavelet's ability to localize a time series in time-scale space directly leads to the computational efficiency of the wavelet representation of a N X N matrix operator by allowing...

This paper examines the relationships between the CAC40 index, the Dow Jones index and the Euro/USD exchange rate using daily data over the period 1999-2008. We find that these variables are I(1) nonstationary series, but they are fractionally cointegrated: equilibrium errors exhibit slow mean...

This article compares the performance of bivariate error correction GARCH and FIGARCH models when estimating long term dynamic minimum variance hedge ratios (MVHRs) on the Australian All Ordinaries Index. The paper therefore introduces the bivariate error correction FIGARCH model into the...