Long range dependence in the Indian stock market : evidence of fractional integration, non-linearities and breaks

Luis A. Gil-Alana, Trilochan Tripathy

Year of publication:	December 2016
Authors:	Gil-Alaña, Luis A. ; Tripathy, Trilochan
Published in:	Journal of quantitative economics : official journal of the Indian Econometric Society. - Dordrecht : Springer Science + Business Media, ISSN 0971-1554, ZDB-ID 1235170-2. - Vol. 14.2016, 2, p. 199-215
Subject:	Stock market \| Efficiency \| Long memory \| India \| Indien \| Aktienmarkt \| Zeitreihenanalyse \| Time series analysis \| Börsenkurs \| Share price \| Effizienzmarkthypothese \| Efficient market hypothesis \| Schätzung \| Estimation \| ARMA-Modell \| ARMA model \| Strukturbruch \| Structural break \| Volatilität \| Volatility

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