2008/04/04 by Gawon Yoon · 1 citation
Economics, Econometrics and Finance · #Financial Risk and Volatility Modeling #Complex Systems and Time Series Analysis #Market Dynamics and Volatility
paper · doi:10.1080/13504850701748909
openalex publication_date 2008/04/04 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/29
This article reports, confirming evidence for long memory in the return volatility from equity, and foreign exchange markets with the newly proposed increment ratio statistic by Surgailis et al. (2007 Surgailis, D., Teyssière, G. and Vaičiulis, M. 2007. The increment ratio statistic. Journal of Multivariate Analysis, forthcoming [Google Scholar]). The test is robust to changing means, slowly varying trends and other nonstationarities. In contrast to the widely held belief, we also find that the absolute returns have the most memory for all the markets examined here and that the so-called Taylor effect holds for the foreign exchange rate markets as well.