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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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  • Mandelbrot, Benoit, 1969. "Long-Run Linearity, Locally Gaussian Process, H-Spectra and Infinite Variances," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 10(1), pages 82-111, February.
    • Handle: RePEc:ier:iecrev:v:10:y:1969:i:1:p:82-111
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    1. 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.
    2. Simone Polillo, 2018. "Market efficiency as a revolution in data analysis," Economic Anthropology, Wiley Blackwell, vol. 5(2), pages 198-209, June.
    3. Walter Krämer, 1999. "Kointegration von Aktienkursen," Schmalenbach Journal of Business Research, Springer, vol. 51(10), pages 915-936, October.
    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. G. Mesters & S. J. Koopman & M. Ooms, 2016. "Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models," Econometric Reviews, Taylor & Francis Journals, vol. 35(4), pages 659-687, April.
    6. Marc Henry & Peter M Robinson, 1998. "Long and Short Memory Conditional Heteroscedasticity in Estimating the Memory Parameter of Levels - (Now published in Econometric Theory, 15 (1999), pp.299-336.)," STICERD - Econometrics Paper Series 357, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    7. Los, Cornelis A. & Yu, Bing, 2008. "Persistence characteristics of the Chinese stock markets," International Review of Financial Analysis, Elsevier, vol. 17(1), pages 64-82.
    8. Cornelis A. Los & Joanna M. Lipka, 2004. "Long-Term Dependence Characteristics of European Stock Indices," Finance 0409044, University Library of Munich, Germany.
    9. Segnon, Mawuli & Lux, Thomas, 2013. "Multifractal models in finance: Their origin, properties, and applications," Kiel Working Papers 1860, Kiel Institute for the World Economy (IfW Kiel).
    10. 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.
    11. Pasca Lucian, 2015. "A Critical Review of the Main Approaches on Financial Market Dynamics Modelling," Journal of Heterodox Economics, Sciendo, vol. 2(2), pages 151-167, December.
    12. Chaker Aloui & Duc Khuong Nguyen, 2014. "On the detection of extreme movements and persistent behaviour in Mediterranean stock markets: a wavelet-based approach," Applied Economics, Taylor & Francis Journals, vol. 46(22), pages 2611-2622, August.
    13. Enriquez, Nathanaël, 2004. "A simple construction of the fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 109(2), pages 203-223, February.
    14. Charles S. Bos & Siem Jan Koopman & Marius Ooms, 2007. "Long memory modelling of inflation with stochastic variance and structural breaks," CREATES Research Papers 2007-44, Department of Economics and Business Economics, Aarhus University.
    15. Grobys, Klaus, 2023. "A multifractal model of asset (in)variances," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
    16. Geoffrey Ducournau, 2021. "Bayesian inference and superstatistics to describe long memory processes of financial time series," Papers 2105.04171, arXiv.org.
    17. 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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