True Versus Spurious Long Memory: Some Theoretical Results and a Monte Carlo Comparison

Arturo Leccadito, Omar Rachedi, Giovanni Urga

Producción científica: Artículo en revista indizadaArtículorevisión exhaustiva

7 Citas (Scopus)

Resumen

A common feature of financial time series is their strong persistence. Yet, long memory may just be the spurious effect of either structural breaks or slow switching regimes. We explore the effects of spurious long memory on the elasticity of the stock market price with respect to volatility and show how cross-sectional aggregation may generate spurious persistence in the data. We undertake an extensive Monte Carlo study to compare the performance of five tests, constructed under the null of true long memory versus the alternative of spurious long memory due to level shifts or breaks.

Idioma originalInglés
Páginas (desde-hasta)452-479
Número de páginas28
PublicaciónEconometric Reviews
Volumen34
N.º4
DOI
EstadoPublicada - 15 abr 2015
Publicado de forma externa

Huella

Profundice en los temas de investigación de 'True Versus Spurious Long Memory: Some Theoretical Results and a Monte Carlo Comparison'. En conjunto forman una huella única.

Citar esto