Testing Of Nonstationarities In The Unit Circle,Long Memory Processes And Day Of The Week Effects In Financial Data
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- Guglielmo Maria Caporale & Luis A. Gil-Alana & Mike Nazarski, 2007. "Testing of Nonstationarities in the Unit Circle, Long Memory Processes, and Day of the Week Effects in Financial Data," World Scientific Book Chapters,in: Advances In Quantitative Analysis Of Finance And Accounting, chapter 2, pages 23-50 World Scientific Publishing Co. Pte. Ltd..
- Guglielmo Maria Caporale & Luis A. Gil-Alana & Mike Nazarski, 2004. "Testing Of Nonstationarities In The Unit Circle,Long Memory Processes And Day Of The Week Effects In Financial Data," Public Policy Discussion Papers 04-20, Economics and Finance Section, School of Social Sciences, Brunel University.
More about this item
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-10-21 (All new papers)
- NEP-ECM-2004-10-21 (Econometrics)
- NEP-ETS-2004-10-21 (Econometric Time Series)
- NEP-FIN-2004-10-21 (Finance)
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