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Chaos, Solitons and Fractals
Volumn 34, Issue 3, 2007, Pages 777-781
On fractional integrating dynamics in the US stock market
Author keywords

[No Author keywords available]
Indexed keywords

COST EFFECTIVENESS; INTEGRATION; INVENTORY CONTROL; PARAMETER ESTIMATION; WAVELET ANALYSIS;
EID: 34247110827     PISSN: 09600779     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.chaos.2006.04.004     Document Type: Article
Times cited : (13)
References (8)
  • 1
    • 84990575058 scopus 로고
    • Orthonormal bases of compactly supported wavelets
    • Daubechies I. Orthonormal bases of compactly supported wavelets. Commun Pure Appl Math 41 (1988) 909-996
    • (1988) Commun Pure Appl Math , vol.41 , pp. 909-996
    • Daubechies, I.1
  • 2
    • 84986792205 scopus 로고
    • An introduction to long-memory time series models and fractional differencing
    • Granger C.W., and Joyeaux R. An introduction to long-memory time series models and fractional differencing. J Time Ser Anal 1 (1980) 15-29
    • (1980) J Time Ser Anal , vol.1 , pp. 15-29
    • Granger, C.W.1    Joyeaux, R.2
  • 3
    • 77956890381 scopus 로고
    • Fractional differencing
    • Hosking J.R. Fractional differencing. Biometrika 68 (1981) 165-176
    • (1981) Biometrika , vol.68 , pp. 165-176
    • Hosking, J.R.1
  • 4
    • 0003047092 scopus 로고    scopus 로고
    • Using wavelets to obtain a consistent ordinary least squares estimator of the long-memory parameter
    • Jensen M.J. Using wavelets to obtain a consistent ordinary least squares estimator of the long-memory parameter. J Forecast 18 (1999) 17-32
    • (1999) J Forecast , vol.18 , pp. 17-32
    • Jensen, M.J.1
  • 5
    • 84923145850 scopus 로고
    • Efficient tests of nonstationary hypotheses
    • Robinson P. Efficient tests of nonstationary hypotheses. J Am Statist Assoc 89 (1994) 1420-1437
    • (1994) J Am Statist Assoc , vol.89 , pp. 1420-1437
    • Robinson, P.1
  • 6
    • 21344446855 scopus 로고
    • Gaussian semiparametric estimation of long range dependence
    • Robinson P. Gaussian semiparametric estimation of long range dependence. Ann Statist 13 (1995) 1630-1661
    • (1995) Ann Statist , vol.13 , pp. 1630-1661
    • Robinson, P.1
  • 7
    • 44049114907 scopus 로고
    • Maximum likelihood estimation of stationary univariate fractionally integrated time series
    • Sowell F. Maximum likelihood estimation of stationary univariate fractionally integrated time series. J Econometrics 53 (1992) 165-188
    • (1992) J Econometrics , vol.53 , pp. 165-188
    • Sowell, F.1
  • 8
    • 0037410985 scopus 로고    scopus 로고
    • No evidence of chaos but some evidence of dependence in the US stock market
    • Serletis A., and Shintani M. No evidence of chaos but some evidence of dependence in the US stock market. Chaos, Solitons & Fractals 17 (2003) 449-454
    • (2003) Chaos, Solitons & Fractals , vol.17 , pp. 449-454
    • Serletis, A.1    Shintani, M.2

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.