Estimation of the ARFIMA (p, d, q) fractional differencing parameter (d) using the classical rescaled adjusted range technique
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Bibliographic InfoArticle provided by Elsevier in its journal International Review of Financial Analysis.
Volume (Year): 8 (1999)
Issue (Month): 1 ()
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Web page: http://www.elsevier.com/locate/inca/620166
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- L. C. G. Rogers, 1997. "Arbitrage with Fractional Brownian Motion," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 95-105.
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314., Boston College Department of Economics.
- Hauser, Michael A. & Reschenhofer, Erhard, 1995. "Estimation of the fractionally differencing parameter with the R/S method," Computational Statistics & Data Analysis, Elsevier, vol. 20(5), pages 569-579, November.
- Ellis, Craig & Wilson, Patrick, 2004. "Another look at the forecast performance of ARFIMA models," International Review of Financial Analysis, Elsevier, vol. 13(1), pages 63-81.
- Batten, Jonathan & Ellis, Craig & Hogan, Warren, 2002. "Scaling the volatility of credit spreads: Evidence from Australian dollar eurobonds," International Review of Financial Analysis, Elsevier, vol. 11(3), pages 331-344.
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