Long memory and multifractality: a joint test

DOI10.1016/J.PHYSA.2015.12.166MaRDI QIDQ1619397zbMATH OpenOpenAlexFDO

Authors John Goddard, Enrico Onali

Publication date 13 November 2018

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1601.00903, http://eprints.nottingham.ac.uk/52500/

zbMATH Keywords

exchange rate returnslong memorymultifractalityvolatility clustering

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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. In 11 cases, the exchange rate returns are accurately described by compounding a NIID series with a multifractal time-deformation process. There is no evidence of long memory.

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Cites work

• Forecasting multifractal volatility
• Multifractal detrended fluctuation analysis of nonstationary time series
• Power-law behaviour evaluation from foreign exchange market data using a wavelet transform method
• Short and long memory in stock returns data

Cited in

(6)

• Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching
• Long-time tails of correlation and memory functions
• Testing Fractional Order of Long Memory Processes: A Monte Carlo Study
• MULTIFRACTALITY AND LONG-RANGE DEPENDENCE OF ASSET RETURNS: THE SCALING BEHAVIOR OF THE MARKOV-SWITCHING MULTIFRACTAL MODEL WITH LOGNORMAL VOLATILITY COMPONENTS
• Statistical tests of distributional scaling properties for financial return series
• scientific article; zbMATH DE number 5499236 (Why is no real title available?)

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