Accounting for outliers and calendar effects in surrogate simulations of stock return sequences

Physica A: Statistical Mechanics and its Applications

Volumn 368, Issue 2, 2006, Pages 522-530

  Leontitsis, Alexandros ^a,b   Vorlow, Constantinos E ^c,d  

^a UNIVERSITY OF IOANNINA   (Greece)

^b UNIVERSITY OF PATRAS   (Greece)

^c Eurobank EFG   (Greece)

^d DURHAM UNIVERSITY   (United Kingdom)

Author keywords

Chaos; Financial time series analysis; Heteroscedasticity; Least median of squares; Surrogate data analysis

Indexed keywords

COMPUTER SIMULATION; INVENTORY CONTROL; PARAMETER ESTIMATION; STATISTICAL METHODS; TIME SERIES ANALYSIS;

FINANCIAL TIME SERIES ANALYSIS; HETEROSCEDASTICITY; LEAST MEDIAN OF SQUARES; SURROGATE DATA ANALYSIS;

CHAOS THEORY;

EID: 33744922372     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2005.12.037     Document Type: Article

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