APPARENT LONG MEMORY IN TIME SERIES AS AN ARTIFACT OF A TIME-VARYING MEAN: CONSIDERING ALTERNATIVES TO THE FRACTIONALLY INTEGRATED MODEL (Q3583032)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | APPARENT LONG MEMORY IN TIME SERIES AS AN ARTIFACT OF A TIME-VARYING MEAN: CONSIDERING ALTERNATIVES TO THE FRACTIONALLY INTEGRATED MODEL |
scientific article |
Statements
APPARENT LONG MEMORY IN TIME SERIES AS AN ARTIFACT OF A TIME-VARYING MEAN: CONSIDERING ALTERNATIVES TO THE FRACTIONALLY INTEGRATED MODEL (English)
0 references
26 August 2010
0 references
long memory
0 references
fractional integration
0 references
detrending
0 references
stock returns
0 references
volatility
0 references