A wavelet based investigation of long memory in stock returns
Year of publication: |
2012
|
---|---|
Authors: | Tan, Pei P. ; Galagedera, Don U.A. ; Maharaj, Elizabeth A. |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 391.2012, 7, p. 2330-2341
|
Publisher: |
Elsevier |
Subject: | Wavelet fractional integration | Long range dependence | Returns predictability |
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