Xiu, Jin; Jin, Yao - In: Physica A: Statistical Mechanics and its Applications 377 (2007) 1, pp. 138-154
In this paper, we studied the long-term memory of Hong Kong Hang Sheng index using MRS analysis, established ARFIMA model for it, and detailed the procedure of fractional differencing. Furthermore, we compared the ARFIMA model built by this means with the one that took first-order differencing...