Chapter 14 A Predictive Comparison of Some Simple Long- and Short Memory Models of Daily U.S. Stock Returns, with Emphasis on Business Cycle Effects

DOI10.1016/S0573-8555(05)76014-4zbMath1301.91044OpenAlexW3123350227MaRDI QIDQ5294115

Publication date: 23 July 2007

Published in: Nonlinear Time Series Analysis of Business Cycles (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0573-8555(05)76014-4

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

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