Add to ORKGThis paper derives the spectral density function of aggregated long memory processes in light of the aliasing effect. The results are different from previous analyses in the literature and a small simulation exercise provides evidence in our favour. The main result point to that flow aggregates from long memory processes shall be less biased than stock ones, although both retain the degree of long memory. This result is illustrated with the daily US Dollar/ French Franc exchange rate series
This paper focuses on the long memory of prices and returns of an asset traded in a financial market...
The purpose of paper is to assess the long-term memory of stock index returns in the pan-European pl...
The purpose of paper is to assess the long-term memory of stock index returns in the pan-European pl...
This paper derives the spectral density function of aggregated long memory processes in light of the...
Chambers (1998) explores the interaction between long memory and aggregation. For continuous-time pr...
In this dissertation, I focus on various issues related to aggregation in the frequency domain. The ...
In the face of the upcoming 30th anniversary of econophysics, we review our contributions and other ...
Abstract. It is well-known that the aggregated time series might have very different properties from...
The long memory properties of the integrated and realized volatility are investigated under the assu...
The long memory properties of the integrated and realized volatility are investigated under the ass...
This paper reinterprets results of Ohanissian et al (2003) to show the asymptotic equivalence of tem...
A stylized fact is that realized variance has long memory. We show that, when the instantaneous vola...
A stylized fact is that realized variance has long memory. We show that, when the instantaneous vola...
This paper applies log-periodogram estimators of the fractional difference parameter to the volatili...
This paper examines long-range dependence or longmemory of financial time series on the exchange rat...
This paper focuses on the long memory of prices and returns of an asset traded in a financial market...
The purpose of paper is to assess the long-term memory of stock index returns in the pan-European pl...
The purpose of paper is to assess the long-term memory of stock index returns in the pan-European pl...
This paper derives the spectral density function of aggregated long memory processes in light of the...
Chambers (1998) explores the interaction between long memory and aggregation. For continuous-time pr...
In this dissertation, I focus on various issues related to aggregation in the frequency domain. The ...
In the face of the upcoming 30th anniversary of econophysics, we review our contributions and other ...
Abstract. It is well-known that the aggregated time series might have very different properties from...
The long memory properties of the integrated and realized volatility are investigated under the assu...
The long memory properties of the integrated and realized volatility are investigated under the ass...
This paper reinterprets results of Ohanissian et al (2003) to show the asymptotic equivalence of tem...
A stylized fact is that realized variance has long memory. We show that, when the instantaneous vola...
A stylized fact is that realized variance has long memory. We show that, when the instantaneous vola...
This paper applies log-periodogram estimators of the fractional difference parameter to the volatili...
This paper examines long-range dependence or longmemory of financial time series on the exchange rat...
This paper focuses on the long memory of prices and returns of an asset traded in a financial market...
The purpose of paper is to assess the long-term memory of stock index returns in the pan-European pl...
The purpose of paper is to assess the long-term memory of stock index returns in the pan-European pl...