In this paper we propose to consider a measure of the persistence of shocks in linear combinations of nonlinear processes, in order to investigate the possible presence of common long-run properties. We argue that such common persistence for nonlinear time series corresponds to the concept of...

Fractionally integrated ARMA (ARFIMA) models are investigated in an Extended version of Nelson and Plosser's (1982) data set.

This paper compares quasi Monte Carlo methods, in particular so-called (t,m,s)-Nets, with classical Monte Carlo approaches for simulating econometric time-series.

We consider truncated processes, both in discrete and continuous time, and study their dynamic properties. When the underlying process is a diffusion process, we derive the infinitesimal generator of its truncated counterpart. This result is the basis for the estimation of the drift and...

In this paper we compare via Monte Carlo experiments some methods to estimate the parameter of long-range dependence. We then apply these procedures to a financial time series to investigate its long-memory properties. The evidence of smooth long-range dependence makes the usual Efficiency...

The paper deals with estimation of missing observations in possibly nonstationary ARIMA models. First, the model is assumed known, and the structure of the interpolation filter is analysed. Using the inverse or dual autocorrelation function it is seen how estimation of a missing observation is...

This paper studies a classical extension of the Black and Scholes model for option pricing, often known as the Hull and White model. Our specificity is that the volatility process is assumed not only to be stochastic, but also to have long memory features and properties.

The paper deals with estimation of missing observations in possibly nonstationary ARIMA models. First, the model is assumed known, and the structure of the interpolation filter is analysed. Using the inverse or dual autocorrelation function it is seen how estimation of a missing observation is...