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...
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Elsevier
2016
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| Online Access: | https://eprints.nottingham.ac.uk/52500/ |
| _version_ | 1848798740906770432 |
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| author | Goddard, John Onali, Enrico |
| author_facet | Goddard, John Onali, Enrico |
| author_sort | Goddard, John |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | 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.
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| publishDate | 2016 |
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| spelling | nottingham-525002020-05-04T17:48:27Z https://eprints.nottingham.ac.uk/52500/ Long memory and multifractality: a joint test Goddard, John Onali, Enrico 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. Previous article in issue Elsevier 2016-06-01 Article PeerReviewed Goddard, John and Onali, Enrico (2016) Long memory and multifractality: a joint test. Physica A: Statistical Mechanics and its Applications, 451 . pp. 288-294. ISSN 0378-4371 Multifractality; Long memory; Volatility clustering; Exchange rate returns https://www.sciencedirect.com/science/article/pii/S0378437116001278 doi:10.1016/j.physa.2015.12.166 doi:10.1016/j.physa.2015.12.166 |
| spellingShingle | Multifractality; Long memory; Volatility clustering; Exchange rate returns Goddard, John Onali, Enrico Long memory and multifractality: a joint test |
| title | Long memory and multifractality: a joint test |
| title_full | Long memory and multifractality: a joint test |
| title_fullStr | Long memory and multifractality: a joint test |
| title_full_unstemmed | Long memory and multifractality: a joint test |
| title_short | Long memory and multifractality: a joint test |
| title_sort | long memory and multifractality: a joint test |
| topic | Multifractality; Long memory; Volatility clustering; Exchange rate returns |
| url | https://eprints.nottingham.ac.uk/52500/ https://eprints.nottingham.ac.uk/52500/ https://eprints.nottingham.ac.uk/52500/ |