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Measuring The Memory Parameter On Several Transformations Of Asset Returns

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  • L. A. GIL-ALANA

    (University of Navarre, Campus Universitario, Faculty of Economics, Edificio Biblioteca, Entrada Este E-31080 Pamplona, Spain)

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

Suggested Citation

  • L. A. Gil-Alana, 2005. "Measuring The Memory Parameter On Several Transformations Of Asset Returns," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(06), pages 675-691.
    • Handle: RePEc:wsi:ijtafx:v:08:y:2005:i:06:n:s0219024905003207
    DOI: 10.1142/S0219024905003207
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    References listed on IDEAS

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    1. Peter M Robinson & Paolo Zaffaroni, 1997. "Modelling Nonlinearity and Long Memory in Time Series - (Now published in 'Nonlinear Dynamics and Time Series', C D Cutler and D T Kaplan (eds), Fields Institute Communications, 11 (1997), pp.61-170.)," STICERD - Econometrics Paper Series 319, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    2. Benoit Mandelbrot & Adlai Fisher & Laurent Calvet, 1997. "A Multifractal Model of Asset Returns," Cowles Foundation Discussion Papers 1164, Cowles Foundation for Research in Economics, Yale University.
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