Search Results - subject:"Long Memory Process"

Time Series Behaviour of Stock Trading Volume:An Evidence from Indian Stock Market

Kumar, Alok - Econometric Society - 2004

process is a long memory process provides a consistent and satisfactory description of the dynamics of Indian stock turnover … memory process with a unit root process because of their inability to capture an order of integration that may not be an … the persistence of the autocorrelations. However the conventional unit root tests have no power to distinguish a long …

Persistent link: https://www.econbiz.de/10005342341

An empirical investigation of Australian Stock Exchange data

Bertram, William K - In: Physica A: Statistical Mechanics and its Applications 341 (2004) C, pp. 533-546

We present an empirical study of high frequency Australian equity data examining the behaviour of distribution tails and the existence of long memory. A method is presented allowing us to deal with Australian Stock Exchange data by splitting it into two separate data series representing an...

Persistent link: https://www.econbiz.de/10010588533

General Autoregressive Models with Long-Memory Noise

Boutahar, Mohamed - In: Statistical Inference for Stochastic Processes 5 (2002) 3, pp. 321-333

Persistent link: https://www.econbiz.de/10005391489

Adaptive Estimation of the Lag of a Long–memory Process

Hallin, Marc; Serroukh, Abdeslam - In: Statistical Inference for Stochastic Processes 1 (1998) 2, pp. 111-129

Persistent link: https://www.econbiz.de/10005616001