Inducing normality from non-Gaussian long memory time series and its application to stock return data-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Inducing normality from non-Gaussian long memory time series and its application to stock return data

Published:2009-05-21 Issue:4 Volume:26 Page:374-388
ISSN:1524-1904
Container-title:Applied Stochastic Models in Business and Industry
language:en
Short-container-title:Appl. Stochastic Models Bus. Ind.

Author:

Ko Kyungduk

Publisher

Wiley

Subject

Management Science and Operations Research,General Business, Management and Accounting,Modeling and Simulation

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/asmb.784/fullpdf

Reference29 articles.

1. Efficient location and regression estimation for long range dependent regression models;Dahlhaus;Annals of Statistics,1995

2. Confidence intervals for long memory regressions;Ko;Statistics and Probability Letters,2008

3. One-way analysis of variance with long memory errors and its application to stock return data;Lee;Applied Stochastic Models in Business and Industry,2007

4. Long-term dependence in common stock price;Greene;Journal of Financial Economics,1999

5. Forecast of future prices, unbiased markets and martingale models;Mandelbrot;Journal of Business,1967

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP