Long memory and sampling frequencies: Evidence in stock index futures markets

International Journal of Theoretical and Applied Finance

Volumn 9, Issue 5, 2006, Pages 787-799

  Shieh, Shwu Jane ^a  

^a NATIONAL CHENGCHI UNIVERSITY   (Taiwan)

Author keywords

ARFIMA (P, d, q); Contrarian strategy; Detrended fluctuation analysis; Long memory

Indexed keywords

EID: 33747240146     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024906003780     Document Type: Article

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