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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| Language | Label | Description | Also known as |
|---|---|---|---|
| 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 |
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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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