Study of persistence and copersistence for conditional moments of time series

MaRDI QIDQ5318629zbMATH OpenFDO

Authors Songchen Li, Shi-ying Zhang

Publication date 22 July 2009

zbMATH Keywords

copersistence in conditional momentserror correction modelnonlinear integrationtime series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Cited in

(3)

• Self-affine time series: Measures of weak and strong persistence.
• Study of existence of co-persistence in volatility
• Research on the relationship of co-persistence based on high-frequency financial time series

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