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How close is a fractional process to a random walk with drift?
Larsson, Rolf - In: Journal of time series econometrics 7 (2015) 2, pp. 217-234
Persistent link: https://www.econbiz.de/10011291296
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Modelling financial time series
Taylor, Stephen - 2007 - 2. edition
Persistent link: https://www.econbiz.de/10003553502
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Entrance times of random walks : with applications to pension fund modeling
Fiig Jarner, Søren; Tolver Kronborg, Morten - In: Insurance / Mathematics & economics 67 (2016), pp. 1-20
Persistent link: https://www.econbiz.de/10011457142
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Tests of common stochastic trends
Nyblom, Jukka; Harvey, Andrew C. - In: Econometric theory 16 (2000) 2, pp. 176-199
Persistent link: https://www.econbiz.de/10001483364
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Testing against smooth stochastic trends
Nyblom, Jukka; Harvey, Andrew C. - In: Journal of applied econometrics 16 (2001) 3, pp. 415-429
Persistent link: https://www.econbiz.de/10001592354
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An optimal test against a random walk component in a non-orthogonal unobserved components model
Bailey, Ralph W.; Taylor, Robert - In: The econometrics journal 5 (2002) 2, pp. 520-532
Persistent link: https://www.econbiz.de/10001713335
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The inverse range process in a random volatibility random walk
Tapiero, Charles S.; Valois, Pierre - 2001
Persistent link: https://www.econbiz.de/10001625441
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Tests of common stochastic trends
Nyblom, Jukka; Harvey, Andrew C. - 1999
Persistent link: https://www.econbiz.de/10001354556
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Is violation of the random walk assumption an exception or a rule in capital markets?
Dittrich, Ludwig O.; Srbek, Pavel - In: Atlantic economic journal : AEJ 48 (2020) 4, pp. 491-501
Persistent link: https://www.econbiz.de/10012485200
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Time scale and fractionality in financial time series
Sproul, Thomas W. - In: Agricultural finance review 76 (2016) 1, pp. 76-93
Persistent link: https://www.econbiz.de/10011695555