15.10 Conclusion
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.