APPARENT LONG MEMORY IN TIME SERIES AS AN ARTIFACT OF A TIME-VARYING MEAN: CONSIDERING ALTERNATIVES TO THE FRACTIONALLY INTEGRATED MODEL (Q3583032)
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scientific article; zbMATH DE number 5774850
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| English | APPARENT LONG MEMORY IN TIME SERIES AS AN ARTIFACT OF A TIME-VARYING MEAN: CONSIDERING ALTERNATIVES TO THE FRACTIONALLY INTEGRATED MODEL |
scientific article; zbMATH DE number 5774850 |
Statements
APPARENT LONG MEMORY IN TIME SERIES AS AN ARTIFACT OF A TIME-VARYING MEAN: CONSIDERING ALTERNATIVES TO THE FRACTIONALLY INTEGRATED MODEL (English)
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26 August 2010
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long memory
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fractional integration
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detrending
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stock returns
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volatility
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0.8775934
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0.87541556
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0.86997974
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0.8602567
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0.8591161
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