Long Memory and Change in Persistence in the Rare Earth Market Index

Ata Assaf, Khaled Mokni and Luis Gil-Alana

Energy RESEARCH LETTERS, 2024, vol. 4, issue 4, 1-7

Abstract: This paper investigates long memory and change in persistence of the rare earth market index. We test for the presence of long memory, complemented with tests that account for regime change or breaks. Our findings confirm the presence of long memory in the rare earth market index, with the memory parameters increasing within two-regime schemes. A break in persistence is also estimated to have occurred on September 4, 2019.

Keywords: Rare earth elements; Long memory; Persistence changes (search for similar items in EconPapers)
JEL-codes: C12 C13 Q32 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:ayb:jrnerl:90

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