Inducing normality from non-Gaussian long memory time series and its application to stock return data
DOI10.1002/asmb.784zbMath1226.91088OpenAlexW4233271524MaRDI QIDQ3103156
Publication date: 26 November 2011
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.784
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05) Economic time series analysis (91B84) Analysis of variance and covariance (ANOVA) (62J10)
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