dc.contributor.author | Goddard, J | |
dc.contributor.author | Onali, E | |
dc.date.accessioned | 2020-01-06T12:00:03Z | |
dc.date.issued | 2016-02-03 | |
dc.description.abstract | The properties of statistical tests for hypotheses concerning the parameters of the multifractal model of asset returns (MMAR) are investigated, using Monte Carlo techniques. We show that, in the presence of multifractality, conventional tests of long memory tend to over-reject the null hypothesis of no long memory. Our test addresses this issue by jointly estimating long memory and multifractality. The estimation and test procedures are applied to exchange rate data for 12 currencies. Among the nested model specifications that are investigated, in 11 out of 12 cases, daily returns are most appropriately characterized by a variant of the MMAR that applies a multifractal time-deformation process to NIID returns. There is no evidence of long memory. | en_GB |
dc.identifier.citation | Vol. 451, pp. 288 - 294 | en_GB |
dc.identifier.doi | 10.1016/j.physa.2015.12.166 | |
dc.identifier.uri | http://hdl.handle.net/10871/40251 | |
dc.language.iso | en | en_GB |
dc.publisher | Elsevier | en_GB |
dc.rights | © 2016. This version is made available under the CC-BY-NC-ND 4.0 license: https://creativecommons.org/licenses/by-nc-nd/4.0/ | en_GB |
dc.subject | Multifractality | en_GB |
dc.subject | Long memory | en_GB |
dc.subject | Volatility clustering | en_GB |
dc.subject | Exchange rate returns | en_GB |
dc.title | Long memory and multifractality: A joint test | en_GB |
dc.type | Article | en_GB |
dc.date.available | 2020-01-06T12:00:03Z | |
dc.identifier.issn | 0378-4371 | |
dc.description | This is the author accepted manuscript. The final version is available from Elsevier via the DOI in this record | en_GB |
dc.identifier.journal | Physica A: Statistical Mechanics and its Applications | en_GB |
dc.rights.uri | http://www.rioxx.net/licenses/all-rights-reserved | en_GB |
dcterms.dateAccepted | 2015-07-03 | |
rioxxterms.version | AM | en_GB |
rioxxterms.licenseref.startdate | 2016-06-01 | |
rioxxterms.type | Journal Article/Review | en_GB |
refterms.dateFCD | 2020-01-06T11:57:48Z | |
refterms.versionFCD | AM | |
refterms.dateFOA | 2020-01-06T12:00:11Z | |
refterms.panel | Unspecified | en_GB |