A test of the long memory hypothesis based on self-similarity

Keyphrases

• Long Memory 100%
• Self-similarity 100%
• Long Memory Parameter 100%
• Exchange Rate Volatility 50%
• Memory-based 50%
• Bootstrap Method 50%
• Aliasing 50%
• Correction Factor 50%
• Bootstrap 50%
• Monte Carlo Experiment 50%
• Conventional Test 50%
• Spurious Long Memory 50%
• Growth Series 50%
• Dependent Samples 50%
• Asymptotic Consistency 50%
• Dividend Growth 50%
• Composite Test 50%
• Asymptotic Size 50%
• Fractional Differencing 50%

Mathematics

• Bootstrapping 100%
• Self-Similarity 100%
• Asymptotics 50%
• Approximates 50%
• Test Procedure 50%
• Dependent Sample 50%
• Monte Carlo Method 50%