A new frequency-domain test statistic is introduced to test for short memory versus long memory. We provide its asymptotic distribution under the null hypothesis and show that it is consistent under any long memory alternative. Some simulation studies show that this test is more robust than various standard tests in terms of empirical size when the normality of observed process is lost
In traditional financial theory the returns of prices are assumed to be independent of each other, t...
AbstractWe construct a two-sample test for comparison of long memory parameters based on ratios of t...
This paper develops a new test of true versus spurious long memory, based on log-periodogram estimat...
A new frequency-domain test statistic is introduced to test for short memory versus long memory. We ...
A frequency-domain statistic is introduced to test for stationarity versus stochastic or determinist...
Abstract. In this paper, we make use of the information measure introduced by Mokkadem (1997) for bu...
An important problem in time series analysis is the discrimination between non-stationarity and long...
Various trading strategies have been proposed that use estimates of the Hurst coefficient, which is ...
International audienceIn this paper we discuss the properties of most important estimators of long-r...
A test for long-run memory that is robust to short-range dependence is developed. It is a simple ext...
The paper deals with the power and robustness of the R/S type tests under contiguous alternatives. W...
Bootstrap techniques in the frequency domain have been proved to be effective instruments to approx...
This paper is devoted to the discrimination between a stationary long-range dependent model and a no...
AbstractWe derive a functional central limit theorem for the empirical spectral measure or discretel...
In this paper, we present the results of Monte Carlo simulations for two popular techniques of long-...
In traditional financial theory the returns of prices are assumed to be independent of each other, t...
AbstractWe construct a two-sample test for comparison of long memory parameters based on ratios of t...
This paper develops a new test of true versus spurious long memory, based on log-periodogram estimat...
A new frequency-domain test statistic is introduced to test for short memory versus long memory. We ...
A frequency-domain statistic is introduced to test for stationarity versus stochastic or determinist...
Abstract. In this paper, we make use of the information measure introduced by Mokkadem (1997) for bu...
An important problem in time series analysis is the discrimination between non-stationarity and long...
Various trading strategies have been proposed that use estimates of the Hurst coefficient, which is ...
International audienceIn this paper we discuss the properties of most important estimators of long-r...
A test for long-run memory that is robust to short-range dependence is developed. It is a simple ext...
The paper deals with the power and robustness of the R/S type tests under contiguous alternatives. W...
Bootstrap techniques in the frequency domain have been proved to be effective instruments to approx...
This paper is devoted to the discrimination between a stationary long-range dependent model and a no...
AbstractWe derive a functional central limit theorem for the empirical spectral measure or discretel...
In this paper, we present the results of Monte Carlo simulations for two popular techniques of long-...
In traditional financial theory the returns of prices are assumed to be independent of each other, t...
AbstractWe construct a two-sample test for comparison of long memory parameters based on ratios of t...
This paper develops a new test of true versus spurious long memory, based on log-periodogram estimat...