Detecting long-range dependence with truncated ratios of periodogram ordinates
Author:
Affiliation:
1. Department of Statistics and Operations Research, University of Vienna, Vienna, Austria
Publisher
Informa UK Limited
Subject
Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03610926.2019.1709646
Reference44 articles.
1. Wavelet analysis of long-range-dependent traffic
2. On the performance of simple trading rules derived from the fractal dynamics of gold and silver price fluctuations
3. On time-varying predictability of emerging stock market returns
4. Fractionally integrated generalized autoregressive conditional heteroskedasticity
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