Goddard, John and Onali, Enrico (2016). Long memory and multifractality:a joint test. Working Paper. UNSPECIFIED. (Unpublished)
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.
Divisions: | College of Business and Social Sciences > Aston Business School |
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Uncontrolled Keywords: | multifractality,long memory,volatility clustering,exchange rate returns |
Last Modified: | 27 Jun 2024 11:57 |
Date Deposited: | 08 Mar 2016 15:30 | PURE Output Type: | Working paper |
Published Date: | 2016-01 |
Authors: |
Goddard, John
Onali, Enrico ( ![]() |