A simple non-linear model with fractional integration for financial time series data
AbstractThis paper provides several examples of simple non-linear time series models with fractionally integrated disturbances. Both types of models (non-linear and fractional integration) have been widely used in recent years when modeling financial data. We use a testing procedure that permits us to test the order of integration in raw time series in the context of non-linear models. The tests are applied to several financial time series, the results showing that when the non-linear sign structure is taken into account, the order of integration of the series is much higher than one, finding thus conclusive evidence against mean reversion in their behavior.
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Bibliographic InfoArticle provided by Elsevier in its journal International Review of Financial Analysis.
Volume (Year): 17 (2008)
Issue (Month): 5 (December)
Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/620166
Fractional integration Long memory Monte Carlo simulations Stock market;
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