FRACTIONAL INTEGRATION IN THE STOCK MARKET VOLATILITY SERIES

DOI10.1142/S0219024902001663zbMath1107.91334MaRDI QIDQ3022082

Luis A. Gil-Alana

Publication date: 22 June 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024902001663

zbMATH Keywords

fractional integration; long memory; volatility

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

91B84: Economic time series analysis

Cites Work

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