Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets (Q2347732)
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scientific article; zbMATH DE number 6443582
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| English | Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets |
scientific article; zbMATH DE number 6443582 |
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Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets (English)
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8 June 2015
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bootstrap
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efficient market hypothesis
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fractional integration
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score tests
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spot and futures commodity prices
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time-varying volatility
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0.7707474827766418
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0.7657854557037354
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0.7649139165878296
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0.7642775177955627
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0.7545570135116577
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