Bilateral bootstrap tests for long memory: an application to the Silver market

DOI10.1023/A:1026129729224MaRDI QIDQ1417065zbMATH OpenFDO

Authors Christian de Peretti

Publication date 18 December 2003

Published in Computational Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/A:1026129729224

zbMATH Keywords

corrected size-power curveslong memoryP value plotsparametric and nonparametric bootstraptests

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

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(2)

• Modelling structural breaks, long memory and stock market volatility: an overview
• Bootstrapping long memory tests: some Monte Carlo results

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