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Fractals or I.I.D.: Evidence of long-range dependence and heavy tailedness from modeling German equity market returns

  • Sun, Wei
  • Rachev, Svetlozar
  • Fabozzi, Frank J.

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Article provided by Elsevier in its journal Journal of Economics and Business.

Volume (Year): 59 (2007)
Issue (Month): 6 ()
Pages: 575-595

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Handle: RePEc:eee:jebusi:v:59:y:2007:i:6:p:575-595
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  1. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
  2. T. Rachev, Svetlozar & Samorodnitsky, Gennady, 2001. "Long strange segments in a long-range-dependent moving average," Stochastic Processes and their Applications, Elsevier, vol. 93(1), pages 119-148, May.
  3. Bollerslev, Tim & Wright, Jonathan H., 2000. "Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data," Journal of Econometrics, Elsevier, vol. 98(1), pages 81-106, September.
  4. Mittnik, Stefan & Paolella, Marc S. & Rachev, Svetlozar T., 2002. "Stationarity of stable power-GARCH processes," Journal of Econometrics, Elsevier, vol. 106(1), pages 97-107, January.
  5. Benoit Mandelbrot, 1963. "New Methods in Statistical Economics," Journal of Political Economy, University of Chicago Press, vol. 71, pages 421.
  6. Eugene F. Fama, 1963. "Mandelbrot and the Stable Paretian Hypothesis," The Journal of Business, University of Chicago Press, vol. 36, pages 420.
  7. Mittnik, Stefan & Paolella, Marc S. & Rachev, Svetlozar T., 2000. "Diagnosing and treating the fat tails in financial returns data," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 389-416, November.
  8. Samorodnitsky, Gennady, 1994. "Possible sample paths of self-similar [alpha]-stable processes," Statistics & Probability Letters, Elsevier, vol. 19(3), pages 233-237, February.
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