Mukhopadhyay, Subhadeep; Parzen, Emanuel - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-17
empirical time series modeling via the algorithm LPTime. We demonstrate the effectiveness of our theoretical framework using … daily S&P 500 return data between 2 January 1963 and 31 December 2009. Our proposed LPTime algorithm systematically …