Estimation of the ARFIMA (p, d, q) fractional differencing parameter (d) using the classical rescaled adjusted range technique

International Review of Financial Analysis

Volumn 8, Issue 1, 1999, Pages 53-65

  Ellis, Craig ^a  

^a UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

Author keywords

Fractional differencing; Rescaled range

Indexed keywords

EID: 0033474470     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/s1057-5219(99)00005-8     Document Type: Article

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