Time scale and fractionality in financial time series
Thomas W. Sproul
| Year of publication: |
2016
|
|---|---|
| Authors: | Sproul, Thomas W. |
| Published in: |
Agricultural finance review. - Bingley : Emerald, ISSN 0002-1466, ZDB-ID 431172-3. - Vol. 76.2016, 1, p. 76-93
|
| Subject: | Heteroskedasticity | Random walk | Financial time series | Fractional Brownian motion | Multiple hypothesis testing | Variance ratio | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Random Walk | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price | ARCH-Modell | ARCH model | Schätzung | Estimation | Statistischer Test | Statistical test | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Konferenzbeitrag ; Conference paper ; Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1108/AFR-01-2016-0008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011695555