Fractional integration versus level shifts: the case of realized asset correlations (Q379926)
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scientific article; zbMATH DE number 6224840
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| English | Fractional integration versus level shifts: the case of realized asset correlations |
scientific article; zbMATH DE number 6224840 |
Statements
Fractional integration versus level shifts: the case of realized asset correlations (English)
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11 November 2013
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long memory
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fractional integration
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structural breaks
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realized correlation
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0.7800439596176147
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0.7655279636383057
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0.7537894248962402
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0.7503560781478882
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0.7435944676399231
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