A time-series model of stock returns with a positive short-term correlation and a negative long-term correlation
Year of publication: |
2002
|
---|---|
Authors: | Khil, Jaeuk ; Lee, Bong-Soo |
Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 18.2002, 4, p. 383-404
|
Subject: | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | USA | United States | Autokorrelation | Autocorrelation | ARMA-Modell | ARMA model |
Extent: | graph. Darst |
---|---|
Type of publication: | Article |
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Notes: | In: Review of quantitative finance and accounting |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Using the hybrid Phillips curve with memory to forecast US infllation
Chu, Shiou-Yen, (2017)
-
Testing for predictability in a noninvertible ARMA model
Lanne, Markku, (2012)
-
Independence test for high dimensional random vectors
Pan, G., (2012)
- More ...
-
Stock returns, housing returns and inflation: is there an inflation illusion?
Hong, Gwangheon, (2013)
-
Ha, In-bong, (2001)
-
Are common stocks a good hedge against inflation? : Evidence from the Pacific-rim countries
Khil, Jaeuk, (2000)
- More ...