High-frequency stock linkage and multi-dimensional stationary processes

DOI10.1016/j.physa.2016.10.019zbMath1400.91671OpenAlexW2537950463MaRDI QIDQ1620266

R. Smith

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2016.10.019

zbMATH Keywords

convergenceergodic theoremlinkagemulti-dimensional stationary processtesting program

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stationary stochastic processes (60G10)

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A method to get a more stationary process and its application in finance with high-frequency data of Chinese index futures

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