Fractional integration versus level shifts: the case of realized asset correlations
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Publication:379926
DOI10.1007/S00362-013-0513-2zbMath1416.62653OpenAlexW1975441639MaRDI 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
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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Uses Software
Cites Work
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