LONG MEMORY AND SAMPLING FREQUENCIES: EVIDENCE IN STOCK INDEX FUTURES MARKETS

DOI10.1142/S0219024906003780zbMath1138.91582OpenAlexW2045349794MaRDI QIDQ5487842

Shwu-Jane Shieh

Publication date: 12 September 2006

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024906003780

zbMATH Keywords

long memorydetrended fluctuation analysisq)\)dcontrarian strategyARFIMA \((p

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

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Cites Work

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• Tests for Hurst effect
• Fractional differencing
• Long-Term Memory in Stock Market Prices
• Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework
• Past and Future
• A new look at the statistical model identification

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