Testing the CVAR in the Fractional CVAR Model
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Publication:4556513
DOI10.1111/jtsa.12300zbMath1402.62200OpenAlexW2999403359WikidataQ129960714 ScholiaQ129960714MaRDI QIDQ4556513
Morten Ørregaard Nielsen, Søren Glud Johansen
Publication date: 16 November 2018
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://ageconsearch.umn.edu/record/274720/files/qed_wp_1394.pdf
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Asymptotic properties of parametric tests (62F05)
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