Fractional integration and cointegration in US financial time series data
Year of publication: |
2011
|
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Authors: | Caporale, Guglielmo Maria ; Gil-Alana, Luis A. |
Publisher: |
Berlin : Deutsches Institut für Wirtschaftsforschung (DIW) |
Subject: | Finanzmarkt | Zeitreihenanalyse | Kointegration | Effizienzmarktthese | Mean Reversion | Schätzung | USA | fractional integration | long-range dependence | fractional cointegration | financial data |
Series: | DIW Discussion Papers ; 1116 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 684562596 [GVK] hdl:10419/55314 [Handle] RePEc:diw:diwwpp:dp1116 [RePEc] |
Classification: | C22 - Time-Series Models ; G10 - General Financial Markets. General |
Source: |
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