Sample period selection and long-term dependence: New evidence from the Dow Jones index

Chaos, Solitons and Fractals

Volumn 36, Issue 5, 2008, Pages 1126-1140

  Batten, Jonathan A ^a,d   Ellis, Craig A ^b   Fethertson, Thomas A ^c  

^a HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

^b UNIVERSITY OF WESTERN SYDNEY   (Australia)

^c UNIVERSITY OF ALABAMA AT BIRMINGHAM   (United States)

^d MACQUARIE UNIVERSITY   (Australia)

Author keywords

[No Author keywords available]

Indexed keywords

POLYNOMIALS; REGRESSION ANALYSIS; SENSITIVITY ANALYSIS; STATISTICS;

AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC (ARCH); SAMPLE PERIOD SELECTION; STATISTIC VALUES;

FINANCIAL DATA PROCESSING;

EID: 38649130655     PISSN: 09600779     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.chaos.2006.08.013     Document Type: Article

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