Jump detection and long range dependence

Physica A: Statistical Mechanics and its Applications

Volumn 388, Issue 7, 2009, Pages 1150-1156

  Pirino, Davide ^a  

^a UNIVERSITY OF PISA   (Italy)

Author keywords

Detrended fluctuation analysis; Jump detection; Long memory detection; Long memory process; Realized volatility; Threshold bipower variation

Indexed keywords

PHYSICS;

BIPOWER VARIATIONS; DETRENDED FLUCTUATION ANALYSIS; JUMP DETECTIONS; LONG MEMORY; LONG MEMORY PROCESS; REALIZED VOLATILITY;

STOCHASTIC SYSTEMS;

EID: 58549101699     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2008.12.035     Document Type: Article

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