Long memory and data frequency in financial markets
Keywords:
Persistence
Long memory
R/S analysis
Fractional integration
Publisher:
Informa UK Limited
Note:
This is an Open Access article distributed under the terms of the Creative Commons Attribution-NonCommercial-NoDerivatives License (http://creativecommons.org/licenses/by-nc-nd/4.0/)
Citation:
Caporale, G.M. (Guglielmo M.); Gil-Alana, L.A. (Luis A.); Plastun, A. (Alex). "Long memory and data frequency in financial markets". Journal of Statistical Computation and Simulation. 89 (10), 2019, 1763 - 1779
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