Long-term memory and applying the multi-factor ARFIMA models in financial markets. (English) Zbl 1059.91077
Summary: Exploiting the classical R/S and modified R/S analysis, we first reveal the evidence of long-term memory in liquidity, volume, and volatility. Thereafter, we estimate the fractionally integrated autoregressive moving average ARFIMA models by both the exact-maximum likelihood (EML) and the modified-profile likelihood (MPL) methods. Furthermore, based on the theory of financial economics, we extend the simple ARFIMA models to the Multi-Factor ARFIMA models by incorporating the mutual relationships among financial market variables and present the effectiveness of the Multi-Factor ARFIMA models in financial markets.
MSC:
91B82 | Statistical methods; economic indices and measures |
91B28 | Finance etc. (MSC2000) |
91B84 | Economic time series analysis |