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ChapterLong range dependence in financial markets

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Chapter2005

Long range dependence in financial markets

131 citations·0/0 files stored·Springer eBooks

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Complex Systems and Time Series Analysis Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1968Fractional Brownian Motions, Fractional Noises and Applications 2005Stochastic Integration and Differential Equations 1997The variation of certain speculative prices 1992ARCH modeling in finance 2001Empirical properties of asset returns: stylized facts and statistical issues 1993A long memory property of stock market returns and a new model 1981Martingales and stochastic integrals in the theory of continuous trading 1996Statistics for Long-Memory Processes.

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Year2005

Typechapter

Published2005-09-28

VenueSpringer eBooks

Languageen

Citations131

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1007/1-84628-048-6_11

openalex_workW1512184319

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