Long correlations and fractional difference analysis applied to the study of memory effects in high-frequency (tick) data
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DOI: 10.1080/14697688.2015.1032547
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- Un, Kuok Sin & Ausloos, Marcel, 2022. "Equity premium prediction: Taking into account the role of long, even asymmetric, swings in stock market behavior," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 608(P1).
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