In this paper, we propose a simple bias–reduced log–periodogram regression estimator,^
dr, of the long–memory parameter, d, that eliminates the first–and higher–order biases of the …

Streamflow forecasting is of great importance to water resources management and flood
defense. On the other hand, a better understanding of the streamflow process is …

We explore the possibility of structural breaks in the daily realized volatility of the
Deutschemark/Dollar, Yen/Dollar and Yen/Deutschemark spot exchange rates with …

The analysis and modeling of computer network traffic is a daunting task considering the
amount of available data. This is quite obvious when considering the spatial dimension of …

We show that a class of microeconomic behavioral models with interacting agents, derived
from Kirman (1991) and Kirman (1993), can replicate the empirical long-memory properties …

In this paper, we test for the existence of long memory and structural breaks in the realized
variance process for the DM/US andYen/US exchange rates. While long memory is evident …

Provides a simple exposition of the basic time series material, and insights into underlying
technical aspects and methods of proof Long memory time series are characterized by a …

We propose a simple testing procedure to test for a change point in the mean of a possibly
long‐range dependent time series. Under the null hypothesis, the series is stationary with …

The long-range dependence paradigm appears to be a suitable description of the data
generating process for many observed economic time series. This is mainly due to the fact …

We test for the presence of long memory in daily oil and refined products prices' absolute
return, squared return and conditional volatility, using several parametric and …