Detecting fuzzy periodic patterns in futures spreads

DOI10.1007/s00362-012-0493-7zbMath1297.62102OpenAlexW2059730272MaRDI QIDQ744771

Erhard Reschenhofer, Werner Ploberger, Georg V. Lehecka

Publication date: 26 September 2014

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-012-0493-7

zbMATH Keywords

predictabilityfrequency-domain testnonsinusoidalitysynchronous pattern

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Inference from stochastic processes and spectral analysis (62M15) Inference from stochastic processes and fuzziness (62M86)

Cites Work

• Testing for a break in persistence under long-range dependencies and mean shifts
• Detecting changes from short to long memory
• The effect of tapering on the semiparametric estimators for nonstationary long memory processes
• Testing for cycles in multiple time series
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

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