MEASURING THE MEMORY PARAMETER ON SEVERAL TRANSFORMATIONS OF ASSET RETURNS

Luis Gil-Alana

International Journal of Theoretical and Applied Finance (IJTAF), 2005, vol. 08, issue 06, 675-691

Abstract: The issue in this paper is to measure the memory parameter in several transformations of historical data of asset returns in the UK (xt) by means of fractionally integrated techniques. We use both parametric and semiparametric methods, and the results show that the power transformations of the absolute values of the returns (i.e., |xt|θ, with θ

Keywords: Asset returns; fractional integration; long memory (search for similar items in EconPapers)
Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijtafx:v:08:y:2005:i:06:n:s0219024905003207

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DOI: 10.1142/S0219024905003207

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