This paper investigates persistence in high-frequency, intraday data (and also daily and monthly ones) in the case of … exponent as a measure of persistence. The results indicate that persistence is sensitive to the data frequency. More … addition, persistence varies over time. These findings imply that the Efficient Market Hypothesis (EMH) only holds in the case …

particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous …

This paper introduces Quasi-Maximum Likelihood Estimation for Long Memory Stock Transaction Data of unknown underlying … sensitive to start value. Hence, two-stage QML has been suggested. In empirical estimation on two stock transaction data for … time has a persistence impact on future transactions. …

cases; however, there are differences in the degree of persistence across regions, the series for Europe being the closest …

This paper investigates unemployment persistence in the 27 EU member states by applying fractional integration methods … levels of persistence in all cases. With seasonally adjusted data, a small degree of mean reversion is found in the case of …. Finally, the Covid-19 pandemic had mixed effects, with (seasonal) persistence increasing in some countries whilst decreasing …