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Long-Run Linearity, Locally Gaussian Process, H-Spectra and Infinite Variances

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  • Mandelbrot, Benoit

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Bibliographic Info

Article provided by Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association in its journal International Economic Review.

Volume (Year): 10 (1969)
Issue (Month): 1 (February)
Pages: 82-111

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Handle: RePEc:ier:iecrev:v:10:y:1969:i:1:p:82-111

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Cited by:
  1. Cornelis A. Los & Bing Yu, 2005. "Persistence Characteristics of the Chinese Stock Markets," Finance 0508008, EconWPA.
  2. Cornelis A. Los & Joanna M. Lipka, 2004. "Long-Term Dependence Characteristics of European Stock Indices," Finance 0409044, EconWPA.
  3. Chaker Aloui & Duc Khuong Nguyen, 2014. "On the detection of extreme movements and persistent behavior in Mediterranean stock markets: a wavelet-based approach," Working Papers 2014-184, Department of Research, Ipag Business School.
  4. Bos, Charles S. & Koopman, Siem Jan & Ooms, Marius, 2014. "Long memory with stochastic variance model: A recursive analysis for US inflation," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 144-157.
  5. Kyaw, NyoNyo A. & Los, Cornelis A. & Zong, Sijing, 2006. "Persistence characteristics of Latin American financial markets," Journal of Multinational Financial Management, Elsevier, vol. 16(3), pages 269-290, July.
  6. Bisaglia, Luisa & Guegan, Dominique, 1998. "A comparison of techniques of estimation in long-memory processes," Computational Statistics & Data Analysis, Elsevier, vol. 27(1), pages 61-81, March.
  7. Enriquez, Nathanaël, 2004. "A simple construction of the fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 109(2), pages 203-223, February.
  8. Mouck, T., 1998. "Capital markets research and real world complexity: The emerging challenge of chaos theory," Accounting, Organizations and Society, Elsevier, vol. 23(2), pages 189-203, February.

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