MEASURING THE MEMORY PARAMETER ON SEVERAL TRANSFORMATIONS OF ASSET RETURNS

DOI10.1142/S0219024905003207zbMath1138.91580OpenAlexW2071340520MaRDI QIDQ5704727

Luis A. Gil-Alana

Publication date: 15 November 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024905003207

zbMATH Keywords

fractional integrationlong memoryasset returns

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Point estimation (62F10) Economic time series analysis (91B84)

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