Article1984

Estimating the Variances of Autocorrelations Calculated from Financial Time Series

32 citations0/0 files storedJournal of the Royal Statistical Society Series C (Applied Statistics)

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Complex Systems and Time Series Analysis

Abstract

Stephen J. Taylor, Estimating the Variances of Autocorrelations Calculated from Financial Time Series, Journal of the Royal Statistical Society. Series C (Applied Statistics), Vol. 33, No. 3 (1984), pp. 300-308

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1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1995Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1982Financial returns modelled by the product of two stochastic processes-A study of the daily sugar prices 1961-75 1976Forecasting Transformed Series 1971Predictability of Stock Market Prices.1980A Theory of Common Stock Returns Over Trading and Non-Trading Periods 1977Tests for Variance Shift at an Unknown Time Point 1982A Bayesian Robust Detection of Shift in the Risk Structure of Stock Market Returns

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