The Weekly Structure of US Stock Prices
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- Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
- Gil-Alana, L.A., 2006. "Fractional integration in daily stock market indexes," Review of Financial Economics, Elsevier, vol. 15(1), pages 28-48.
- Guglielmo Maria Caporale & Luis Gil‐Alana, 2014.
"Long‐Run and Cyclical Dynamics in the US Stock Market,"
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John Wiley & Sons, Ltd., vol. 33(2), pages 147-161, March.
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More about this item
KeywordsFractional Integration; Weekly Structure; Stock Prices;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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