메뉴 건너뛰기




Volumn 1, Issue 6, 2001, Pages 560-562

Power laws and long memory

Author keywords

[No Author keywords available]

Indexed keywords


EID: 85008852505     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/713666000     Document Type: Note
Times cited : (14)

References (16)
  • 2
    • 0033235673 scopus 로고    scopus 로고
    • A simple linear time series model with misleading nonlinear properties
    • Andersson M, Eklund B and Lyhagen J 1999 A simple linear time series model with misleading nonlinear properties Econ. Lett. 65 281–4
    • (1999) Econ. Lett , vol.65 , pp. 281-284
    • Andersson, M.1    Eklund, B.2    Lyhagen, J.3
  • 3
  • 6
    • 0000953234 scopus 로고    scopus 로고
    • Apparent multifractality in financial time series
    • Bouchaud J-P, Potters M and Meyer M 2000 Apparent multifractality in financial time series Euro. Phys. J. B 13 595–9
    • (2000) Euro. Phys. J. B , vol.13 , pp. 595-599
    • Bouchaud, J.-P.1    Potters, M.2    Meyer, M.3
  • 7
    • 0001061726 scopus 로고    scopus 로고
    • Selecting the optimal sample fraction in univariate extreme value estimation
    • Drees H and Kaufman E 1998 Selecting the optimal sample fraction in univariate extreme value estimation Stochastic Processes Applications 75 149–72
    • (1998) Stochastic Processes Applications , vol.75 , pp. 149-172
    • Drees, H.1    Kaufman, E.2
  • 8
    • 84986759400 scopus 로고
    • The estimation and application of long-memory time series models
    • Geweke J and Porter-Hudak S 1983 The estimation and application of long-memory time series models J. Time Series Analysis 4 221–38
    • (1983) J. Time Series Analysis , vol.4 , pp. 221-238
    • Geweke, J.1    Porter-Hudak, S.2
  • 10
    • 0041939645 scopus 로고    scopus 로고
    • A simple nonlinear time series model with misleading linear properties
    • Granger C W and Teräsvirta T 1999 A simple nonlinear time series model with misleading linear properties Econ. Lett. 62 161–5
    • (1999) Econ. Lett , vol.62 , pp. 161-165
    • Granger, C.W.1    Teräsvirta, T.2
  • 11
    • 43949154946 scopus 로고
    • Long-range dependence in the conditional variance of stock returns
    • Crato N and de Lima P 1994 Long-range dependence in the conditional variance of stock returns Econ. Lett. 45 281–5
    • (1994) Econ. Lett , vol.45 , pp. 281-285
    • Crato, N.1    De Lima, P.2
  • 12
    • 85012545809 scopus 로고    scopus 로고
    • Stochastic volatility as a simple generator of apparent financial power laws and long memory
    • LeBaron B 2001 Stochastic volatility as a simple generator of apparent financial power laws and long memory Quantitative Finance 1 621–31
    • (2001) Quantitative Finance , vol.1 , pp. 621-631
    • Lebaron, B.1
  • 13
    • 0347516541 scopus 로고    scopus 로고
    • The limiting extremal behaviour of speculative returns: An analysis of intra-daily data from the frankfurt stock exchange
    • Lux T 2001a The limiting extremal behaviour of speculative returns: an analysis of intra-daily data from the frankfurt stock exchange Appl. Financial Econ. 11 299–315
    • (2001) Appl. Financial Econ , vol.11 , pp. 299-315
    • Lux, T.1
  • 14
    • 85012532241 scopus 로고    scopus 로고
    • Turbulence in financial markets: The surprising explanatory power of simple cascade models
    • Lux T 2001b Turbulence in financial markets: the surprising explanatory power of simple cascade models Quantitative Finance 1 632–40
    • (2001) Quantitative Finance , vol.1 , pp. 632-640
    • Lux, T.1
  • 15
    • 0002485569 scopus 로고    scopus 로고
    • Measuring tail thickness in order to estimate the stable index: A critique
    • McCulloch J H 1997 Measuring tail thickness in order to estimate the stable index: a critique J. Business Economics Statistics 15 74–81
    • (1997) J. Business Economics Statistics , vol.15 , pp. 74-81
    • McCulloch, J.H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.