Testing for long-range dependence in financial time series
Year of publication: |
2019
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Authors: | Mangat, Manveer Kaur ; Reschenhofer, Erhard |
Published in: |
Central European journal of economic modelling and econometrics. - [Erscheinungsort nicht ermittelbar] : Versita, ISSN 2080-119X, ZDB-ID 2529566-4. - Vol. 11.2019, 2, p. 93-106
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Subject: | long-range dependence | fractionally integrated process | frequency domain test | Kolmogorov-Smirnov goodness-of-fit-tes | Zeitreihenanalyse | Time series analysis | Statistischer Test | Statistical test | Volatilität | Volatility | Schätzung | Estimation | Schätztheorie | Estimation theory | Statistische Verteilung | Statistical distribution | Finanzmarkt | Financial market |
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