Fractals or I.I.D.: Evidence of long-range dependence and heavy tailedness from modeling German equity market returns

Author:

Sun Wei,Rachev Svetlozar,Fabozzi Frank J.

Publisher

Elsevier BV

Subject

Economics and Econometrics,General Business, Management and Accounting

Reference50 articles.

1. Long memory processes and fractional integration in econometrics;Baillie;Journal of Econometrics,1996

2. Generators of long-range dependent processes: A survey;Bardet,2003

3. Statistics for long-memory processes;Beran,1994

4. Prediction of long-memory time series: A tutorial review;Bhansali,2006

5. Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data;Bollerslev;Journal of Econometrics,2000

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