Am currently investigating long term memory in interest rate data.
The two sources I am using are Peters (1996), "Fractal Market Analysis" and an article published in the Journal of Fixed Income, "Investigating Long Memory in Yield Spreads" (S2009) by McCarthy, Pantalone & Li.
I am unsure as to whether this type of question is appropriate for the forum but I would like to know if:
1) more recent research is available. An article reviewing the empirical studies conducted so far would be helpful.
2) if R/S (Rescaled Range) analysis is still applied today on financial time series (the book by Peters is > 20 years old)
3) or if wavelet-type analysis is considered more pertinent
4) and finally, in conducting R/S analysis, one can compute the V-stat to detect long term memory in the data. Lo (1991) published an article with an improved version of the test. The article contains a table of critical values. I would like to one if this is still most recent table to date?