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Is integration I(d) applicable to observed economics and finance time series?

McCauley, Joseph L.; Bassler, Kevin E.; Gunaratne, Gemunu H. - In: International review of financial analysis 18 (2009) 3, pp. 101-108

Persistent link: https://www.econbiz.de/10003880011

Empirically based modeling in financial economics and beyond, and spurious stylized facts

Bassler, Kevin E.; Gunaratne, Gemunu H.; McCauley, Joseph L. - In: International review of financial analysis 17 (2008) 5, pp. 767-783

Persistent link: https://www.econbiz.de/10003792190

ARCH and GARCH models vs. martingale volatility of finance market returns

McCauley, Joseph L. - In: International review of financial analysis 18 (2009) 4, pp. 151-153

Persistent link: https://www.econbiz.de/10003921029

Nonstationarity of efficient finance markets : FX market evolution from stability to instability

McCauley, Joseph L. - In: International review of financial analysis 17 (2008) 5, pp. 820-837

Persistent link: https://www.econbiz.de/10003792308

A comment on the paper “Stochastic feedback, nonlinear families of Markov processes, and nonlinear Fokker–Planck equations” by T.D. Frank

McCauley, Joseph L. - In: Physica A: Statistical Mechanics and its Applications 382 (2007) 2, pp. 445-452

The purpose of this comment is to correct mistaken assumptions and claims made in the paper “Stochastic feedback, nonlinear families of Markov processes, and nonlinear Fokker–Planck equations” by T. D. Frank [T.D. Frank, Stochastic feedback, non-linear families of Markov processes, and...

Persistent link: https://www.econbiz.de/10011058199