Detecting fuzzy periodic patterns in futures spreads

DOI10.1007/S00362-012-0493-7MaRDI QIDQ744771zbMATH OpenOpenAlexFDO

Authors Erhard Reschenhofer, Werner Ploberger, Georg V. Lehecka

Publication date 26 September 2014

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00362-012-0493-7

zbMATH Keywords

predictabilityfrequency-domain testnonsinusoidalitysynchronous pattern

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to economics (62P20) Inference from stochastic processes and spectral analysis (62M15) Inference from stochastic processes and fuzziness (62M86)

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Cites work

• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Detecting changes from short to long memory
• Fractional differencing
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Testing for a break in persistence under long-range dependencies and mean shifts
• Testing for cycles in multiple time series
• The effect of tapering on the semiparametric estimators for nonstationary long memory processes

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