Long memory and multifractality: a joint test
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 o...
| Main Authors: | , |
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| Format: | Article |
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Elsevier
2016
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| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/52500/ |