Fast Fractional Differencing in Modeling Long Memory of Conditional Variance for High-Frequency Data

Item Type Journal paper
Abstract
Authors Klein, Tony & Walther, Thomas
Journal or Publication Title Finance Research Letters
Language English
Subjects economics
finance
HSG Classification contribution to scientific community
HSG Profile Area None
Refereed Yes
Date 2017
Publisher Elsevier
Volume 22C
Page Range 274-279
Number of Pages 6
ISSN 1544-6123
Publisher DOI 10.1016/j.frl.2016.12.020
Depositing User Prof. Dr. Thomas Walther
Date Deposited 10 Jan 2018 08:11
Last Modified 10 Jan 2018 08:11
URI: https://www.alexandria.unisg.ch/publications/253239

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Klein, Tony & Walther, Thomas (2017) Fast Fractional Differencing in Modeling Long Memory of Conditional Variance for High-Frequency Data. Finance Research Letters, 22C 274-279. ISSN 1544-6123

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https://www.alexandria.unisg.ch/id/eprint/253239
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