Fractional integration versus level shifts: the case of realized asset correlations
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Publication:379926
DOI10.1007/s00362-013-0513-2zbMath1416.62653MaRDI QIDQ379926
Philip Bertram, Philipp Sibbertsen, Robinson Kruse
Publication date: 11 November 2013
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00362-013-0513-2
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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Cites Work
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