Long-range dependence of time series for MSFT data of the prices of shares and returns

DOI10.1515/156939706779801714zbMath1117.62097OpenAlexW4243005123MaRDI QIDQ3440812

A. G. Zrazhevsky, Mikhail P. Moklyachuk

Publication date: 29 May 2007

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/156939706779801714

zbMATH Keywords

long-range dependenceHurst parameterFARIMA time seriesMSFT tickerself-similar time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09)

Uses Software

• longmemo

Cites Work

• Unnamed Item
• Fractional ARIMA with stable innovations
• Robustness of whittle-type estimators for time series with long-range dependence
• SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM

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