LONG RANGE DEPENDENCE AND STRUCTURAL BREAKS IN THE GOLD MARKETS

Long range dependence in financial markets

The notions of self-similarity, scaling, fractional processes and long range dependence have been repeatedly used to describe properties of financial time series: stock prices, foreign exchange rates, market indices and commodity prices. We discuss the relevance of these concepts in the context of financial modelling, their relation with the basic principles of financial theory and possible eco...

The Influence of Structural Changes in Volatility on Shock Transmission and Volatility Spillover among Iranian Gold and Foreign Exchange Markets

Short Range and Long Range Dependence

In this section a discussion of the evolution of a notion of strong mixing as a measure of short range dependence and with additional restrictions a sufficient condition for a central limit theorem, is given. In the next section I will give a characterization of strong mixing for stationary Gaussian sequences. In Sect. 3 I will give a discussion of processes subordinated to Gaussian processes a...

Long Range Dependence

The notion of long range dependence is discussed from a variety of points of view, and a new approach is suggested. A number of related topics is also discussed, including connections with non-stationary processes, with ergodic theory, self-similar processes and fractionally differenced processes, heavy tails and light tails, limit theorems and large deviations.

Long-memory versus structural breaks: An overview

We discuss the increasing literature on misspecifying structural breaks or more general trends as long range dependence We consider tests on structural breaks in the long memory regression model as well as the behaviour of estimators of the memory parameter when structural breaks or trends are in the data but long memory is not It can be seen that it is hard to distinguish deterministic trends ...