Besides those issues discussed above, the implications for deviation from Gaussian and white-noise process are not fully understood yet for the pricing of the underlying instruments and the implications for derivatives will be challenging to derive. The discussions in this chapter are not meant to be exhaustive on the issues surrounding long-memory or persistence in financial time series, with the related problems of deviation from normality, and different time interval. We have no doubt that the literature addressing these issues will continue to grow and alternative models will be suggested.
In this chapter, We concentrated on searching for long-memory in Asian financial time series. As in previous studies, we found mix evidence of long-memory in Asia stock indices and exchange rates. Finally, we have not adequately dealt with the issue of bandwidth selection in this study and it is likely that the conclusion is sensitive to the choice of bandwidth. Some automatic selection of bandwidth will be desirable and future research should be conducted.