Auflistung nach Schlagwort "spurious long memory"

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  • Essays on fractional cointegration and spurious long memory 
    Afzal, Alia (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2019)
    This thesis contains four essays on fractional cointegration and spurious long memory following the introduction and related literature in the first chapter. Chapter 2 provides an analysis of fractional integration and ...
  • Essays on spurious long memory time series 
    Busch, Marie Theres (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2018)
    This thesis contains three essays on spurious long memory with an introduction to the literature in the first Chapter. Chapter 2 presents a multivariate score-type test against spurious long memory. We prove the consistency ...
  • The memory of volatility 
    Wenger, Kai R.; Leschinski, Christian H.; Sibbertsen, Philipp (Springield : AIMS Press, 2018)
    The focus of the volatility literature on forecasting and the predominance of the conceptually simpler HAR model over long memory stochastic volatility models has led to the fact that the actual degree of memory estimates ...