One-way analysis of variance with long memory errors and its application to stock return data

DOI10.1002/asmb.686zbMath1164.62027OpenAlexW4242630185MaRDI QIDQ3607870

Jaechoul Lee, Kyungduk Ko

Publication date: 28 February 2009

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.686

zbMATH Keywords

ANOVAanalysis of varianceeffective sample size\(F\) testlong memory errorsstock return data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (1)

Inducing normality from non-Gaussian long memory time series and its application to stock return data

Cites Work

• Unnamed Item

This page was built for publication: One-way analysis of variance with long memory errors and its application to stock return data