Testing For Long Memory In Potentially Nonstationary Perturbed Fractional Processes
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Testing for Long Memory in Potentially Nonstationary Perturbed Fractional Processes
Author | : Frank Nielsen |
Publisher | : |
Total Pages | : 53 |
Release | : 2008 |
Genre | : |
ISBN | : |
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In this paper, we propose new tests for long memory in stationary and nonstationary time series possibly perturbed by short-run noise which may be serially correlated. The tests are all based on semiparametric estimators and exploit the self-similarity property of long memory processes. We offer simulation results that show good size properties of the tests, with power against spurious long memory. An empirical study of daily log-squared returns series of exchange rates and DJIA30 stocks shows that indeed there is long memory in exchange rate volatility and stock return volatility.
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