A ‘long memory’ property of stock market returns is investigated in this paper. It is found that
not only there is substantially more correlation between absolute returns than returns …

This paper extends the work by Ding, Granger, and Engle (1993) and further examines the
long memory property for various speculative returns. The long memory property found for …

A new representation of the diagonal Vech model is given using the Hadamard product.
Sufficient conditions on parameter matrices are provided to ensure the positive definiteness of …

This memo explains how to use the MATLAB code for estimating a Markov Regime Switching
Model with time varying transition probabilities. The code is developed by Zhuanxin Ding …

Long memory is defined as a series having a slowly declining correlogram or, equivalently,
an infinite spectrum at zero frequency. Fractional integrated processes have such properties …

The expected absolute return belongs to a class of risk measure derived by Luce (1980) from
axioms. The paper considers the time series properties of E [jr 18] and also the marginal …

The stylized facts found in the previous paper" Some Properties of Absolute Return, An
Alternative Measure of Risk" by the same authors using daily S&P index data are explored using …

This dissertation studies properties of speculative returns and explores the issue of
modeling, estimation and forecasting using time series methods. In Chapter I, a long memory …

We develop a fundamental law of active management based on cross-section factor models
for residual returns where the latter have unconditional mean zero and the factor exposures …

The possibility of specific long-memory temporal properties exponential marginal distributionals
of absolute returns are considered for daily data for a number of markets and similar …