Seemann, Lars; Hua, Jia-Chen; McCauley, Joseph L.; … - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 23, pp. 6024-6032
Empirical analysis of financial time series suggests that the underlying stochastic dynamics are not only non-stationary, but also exhibit non-stationary increments. However, financial time series are commonly analyzed using the sliding interval technique that assumes stationary increments. We...