Long-term memory and applying the multi-factor ARFIMA models in financial markets

DOI10.1023/A:1024105822304zbMath1059.91077OpenAlexW120545833MaRDI QIDQ1421699

Chikashi Tsuji

Publication date: 3 February 2004

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1024105822304

zbMATH Keywords

long-range dependencefractional differencingR/S analysis

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

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