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  • Search: subject:"Fractionally integrated process"
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Year of publication
Subject
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Statistical test 2 Statistischer Test 2 Time series analysis 2 Zeitreihenanalyse 2 fractionally integrated process 2 ARCH model 1 ARCH-Modell 1 Bootstrap approach 1 Bootstrap-Verfahren 1 Correlation 1 Distance test 1 EWMA 1 Estimation theory 1 FIGARCH 1 Fractionally integrated process 1 Kolmogorov-Smirnov goodness-of-fit-tes 1 Korrelation 1 Normality 1 PX and BUX indices 1 Schätztheorie 1 Sieve bootstrap 1 Stochastic process 1 Stochastischer Prozess 1 Theorie 1 Theory 1 Value at Risk 1 Volatility 1 Volatilität 1 frequency domain test 1 long-range dependence 1
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Online availability
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Free 3
Type of publication
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Article 2 Book / Working Paper 1
Type of publication (narrower categories)
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Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 2 Czech 1
Author
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Mangat, Manveer Kaur 1 Psaradakis, Zacharias G. 1 Reschenhofer, Erhard 1 Vávra, Marián 1 Štolc, Zdeněk 1
Published in...
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Acta Oeconomica Pragensia 1 Birkbeck working papers in economics and finance : BWPEF 1 Central European journal of economic modelling and econometrics 1
Source
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
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Testing for long-range dependence in financial time series
Mangat, Manveer Kaur; Reschenhofer, Erhard - In: Central European journal of economic modelling and … 11 (2019) 2, pp. 93-106
Persistent link: https://www.econbiz.de/10012294575
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A distance test of normality for a wide class of stationary processes
Psaradakis, Zacharias G.; Vávra, Marián - 2015
Persistent link: https://www.econbiz.de/10011350566
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Application of FIGARCH and EWMA Models on Stock Indices PX and BUX
Štolc, Zdeněk - In: Acta Oeconomica Pragensia 2011 (2011) 4, pp. 25-38
Volatility of the financial time series belongs to the crucial estimated parameters in finance (e.g. in risk management, derivative pricing). It is well known, that volatility varies in time, so that new approaches of volatility modeling have appeared. In this paper two models of the conditional...
Persistent link: https://www.econbiz.de/10009294290
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