Spurious long-range dependence in emerging financial markets

The problem with estimating the long range dependence. Motivation for long memory. Long memory VS structural breaks. Markov switching model. Generating the same statistical properties as the long memory model during processing with structural breaks.

Рубрика Финансы, деньги и налоги
Предмет Finance
Вид статья
Язык английский
Прислал(а) S. Bryzgalova, S. Gelman
Дата добавления 26.01.2017
Размер файла 130,8 K

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