In this study we investigate possible long-range trends in the cryptocurrency market. We employed the Hurst exponent in a sample covering the period from 1 January 2016 to 26 March 2021. We calculated the Hurst exponent in three non-overlapping consecutive windows and in the whole sample. Using...

This article defines the Autoregressive Fractional Unit Root Integrated Moving Average (ARFURIMA) model for modelling ILM time series with fractional difference value in the interval of 1൏𝑑൏2. The performance of the ARFURIMA model is examined through a Monte Carlo simulation. Also, some...

Starting from an information process governed by a geometric Brownian motion we show that asset returns are predictable if the elasticity of the pricing kernel is not constant. Declining [Increasing] elasticity of the pricing kernel leads to mean reversion and negatively autocorrelated asset...

We consider the finite sample power of various tests against serial correlation in the disturbances of a linear regression when these disturbances follow a stationary long memory process. It emerges that the power depends on the form of the regressor matrix and that, for the Durbin-Watson test...