Fractional integration versus level shifts: the case of realized asset correlations
Year of publication: |
2013
|
---|---|
Authors: | Bertram, Philip ; Kruse, Robinson ; Sibbertsen, Philipp |
Published in: |
Statistical Papers. - Springer. - Vol. 54.2013, 4, p. 977-991
|
Publisher: |
Springer |
Subject: | Long memory | Fractional integration | Structural breaks | Realized correlation |
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