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Long memory and data frequency in financial markets

  • Published:2019-04-03 Issue:10 Volume:89 Page:1763-1779
  • ISSN:0094-9655
  • Container-title:Journal of Statistical Computation and Simulation
  • language:en
  • Short-container-title:Journal of Statistical Computation and Simulation

Author:

Caporale Guglielmo Maria12,Gil-Alana Luis3,Plastun Alex4ORCID

Affiliation:

1. Department of Economics and Finance, Brunel University London, London, UK

2. CESifo and DIW Berlin, Berlin, Germany

3. Department of Economics, University of Navarra, Pamplona, Spain

4. Department of Economics, Sumy State University, Sumy, Ukraine

Funder

Ministerio de Ciencia y Tecnología

Publisher

Informa UK Limited

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Modelling and Simulation,Statistics and Probability

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1. A multifractional option pricing formula;Fluctuation and Noise Letters;2024-07-30

2. Long Memory in Clean Energy Exchange Traded Funds;Politická ekonomie;2024-06-24

3. Transformation of the Ukrainian Stock Market: A Data Properties View;Journal of Risk and Financial Management;2024-04-24

4. Long-range dependence and rational Gaussian noise;Statistics;2024-03-03

5. Persistence in high frequency financial data: the case of the EuroStoxx 50 futures prices;Cogent Economics & Finance;2024-01-15
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