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Measuring the memory parameter on several transformations of asset returns
Gil-Alaña, Luis A. - In: International journal of theoretical and applied finance 8 (2005) 6, pp. 675-692
Persistent link: https://www.econbiz.de/10003133833
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Fractional integration in the stock market volatility series
Gil-Alaña, Luis A. - In: International journal of theoretical and applied finance 5 (2002) 8, pp. 775-783
Persistent link: https://www.econbiz.de/10001763176
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Fractional cointegration and tests of present value models
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 1999
Persistent link: https://www.econbiz.de/10001615056
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Fractional integration and mean reversion in stock prices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000
Persistent link: https://www.econbiz.de/10001615066
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Mean reversion in the Spanish market prices using fractionally integrated semiparametric techniques
DePeña, Francisco Javier; Gil-Alaña, Luis A. - In: International journal of theoretical and applied finance 5 (2002) 6, pp. 645-657
Persistent link: https://www.econbiz.de/10001743195