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Search: subject:"Fractional integration"
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fractional integration
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Long memory and data frequency in financial markets
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
; …
-
2017
2000 to 2016 using two different long memory approaches (R/S analysis and
fractional
integration
) for robustness purposes …
Persistent link: https://www.econbiz.de/10011622025
Saved in:
2
Is market fear persistent? A long-memory analysis
Caporale, Guglielmo Maria
;
Gil-Alana, Luis
;
Plastun, Alex
-
2017
/S analysis with the Hurst exponent method and
fractional
integration
) are used to analyse persistence of the VIX index over the …
Persistent link: https://www.econbiz.de/10011674100
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