Rescaled variance and related tests for long memory in volatility and levels (Q1868970)
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scientific article; zbMATH DE number 1895706
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| English | Rescaled variance and related tests for long memory in volatility and levels |
scientific article; zbMATH DE number 1895706 |
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Rescaled variance and related tests for long memory in volatility and levels (English)
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9 April 2003
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long memory
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modified R/S statistic
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KPSS statistic
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V/S statistic
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linear process
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LARCH model
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0.8580724000930786
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0.8389967083930969
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0.8382012248039246
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0.8285945653915405
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0.8179729580879211
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