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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