Non-stationarities in financial time series, the long range dependence and the Igarch effects

Thomas Mikosch; Catalin Starica

Non-stationarities in financial time series, the long range dependence and the Igarch effects
Preprint, 2002

Author

Thomas Mikosch

Catalin Starica

University of Gothenburg

Chalmers, Department of Mathematics

Other publications Research

Subject Categories (SSIF 2011)

Probability Theory and Statistics

Department of Mathematics, Chalmers University of Technology and Göteborg University: 2002:76

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10/7/2017

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Non-stationarities in financial time series, the long range dependence and the Igarch effects Preprint, 2002