Time scale and fractionality in financial time series
Year of publication: |
2016
|
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Authors: | Sproul, Thomas W. |
Published in: |
Agricultural finance review. - Bingley : Emerald, ISSN 0002-1466, ZDB-ID 431172-3. - Vol. 76.2016, 1, p. 76-93
|
Subject: | Heteroskedasticity | Random walk | Financial time series | Fractional Brownian motion | Multiple hypothesis testing | Variance ratio | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Random Walk | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price | Finanzmarkt | Financial market | Statistischer Test | Statistical test | Volatilität | Volatility | Kapitaleinkommen | Capital income |
Type of publication: | Article |
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Type of publication (narrower categories): | Konferenzbeitrag ; Conference paper ; Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.1108/AFR-01-2016-0008 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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