Long-memory in economics and finance is an important research topic as several economic variables exhibit the main characteristics of long-memory processes, i.e., a significant dependence between very distant observations and a pole in the neighborhood of the zero frequency of their spectrum. In particular, returns on financial assets are uncorrelated, while the series of absolute and squared returns display long-memory.
Long-memory in finance is still an empirical research topic. A structural microeconomic model based on interacting agents generating long-memory properties has been proposed by Kirman and Teyssière (1998). Statistical tools for measuring long-memory which only depend on weak assumptions on the data generating process are emerging in the research literature. This chapter focuses on new results on semiparametric tests and estimators.
All quantlets for long-memory analysis are contained in the quantlib times and become available after entering the instruction
library("times")