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A long memory property of stock returns and a new model

, , и . Journal of Empirical Finance, (1993)

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C W Strüder

C J Schumacher

J C Kämmer

J. C. Whitaker

J C Schmidt

 

Другие публикации лиц с тем же именем

Interval forecasting : An analysis based upon ARCH-quantile estimators, , и . Journal of Econometrics, 40 (1): 87--96 (января 1989)Long memory relationships and the aggregation of dynamic models. Journal of Econometrics, 14 (2): 227--238 (октября 1980)Economic Processes Involving Feedback. Inf. Control., 6 (1): 28-48 (марта 1963)Testing for causality : A personal viewpoint. Journal of Economic Dynamics and Control, (1980)The use of R2 to determine the appropriate transformation of regression variables, и . Journal of Econometrics, 4 (3): 205--210 (августа 1976)Some recent development in a concept of causality. Journal of Econometrics, 39 (1-2): 199--211 (00 1988)Causality, cointegration, and control. Journal of Economic Dynamics and Control, 12 (2-3): 551--559 (00 1988)Large returns, conditional correlation and portfolio diversification: a value-at-risk approach, и . Quantitative Finance, 1 (5): 542--551 (2001)Co - integration and Error Correction: Representation, Estimation and Testing, и . Econometrica, 55 (2): 251-276 (1987)Forecasting in business and economics. Acad. Pr., New York, NY u.a., (1980)