Stock market prices and long-range dependence
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- Tom Doan, "undated". "RATS programs to replicate Willinger, Taqqu, Teverovsky(1999)," Statistical Software Components RTZ00167, Boston College Department of Economics.
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KeywordsLong-range dependence; fractional Gaussian noise; fractional ARIMA; long memory;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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