Empirical study of ARFIMA model based on fractional differencing-Reference-Cited by-同舟云学术

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Empirical study of ARFIMA model based on fractional differencing

Published:2007-04 Issue:1 Volume:377 Page:138-154
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Xiu Jin,Jin Yao

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference26 articles.

1. Chaos and Order in the Capital Markets;Peters,1999

2. Fractal Market Analysis;Peters,1994

3. Long term dependence in stock returns;Jacobson;J. Empir. Finance,1996

4. Long-term memory in stock market price;Lo;Econometrica,1991

5. A search for long memory in international stock market returns;Chueng;J. Int. Money Finance,1995

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