Estimation of the fractionally differencing parameter with the R/S method
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Bibliographic InfoArticle provided by Elsevier in its journal Computational Statistics & Data Analysis.
Volume (Year): 20 (1995)
Issue (Month): 5 (November)
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Web page: http://www.elsevier.com/locate/csda
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- Ellis, Craig, 1999. "Estimation of the ARFIMA (p, d, q) fractional differencing parameter (d) using the classical rescaled adjusted range technique," International Review of Financial Analysis, Elsevier, vol. 8(1), pages 53-65.
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