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Long memory in return structures from developed markets
(Instituto de Economía Aplicada a la Empresa de la Universidad del País Vasco, 2013)
[En]The present study aimed at investigating the existence of long memory properties in ten developed stock markets across the globe. When return series exhibit long memory, the series realizations are not independent
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A Note on Wavelet Correlation and Cointegration
(2013-11)
In a recent paper Leong-Huang:2010 {Journal of Applied Statistics 37, 215–233} proposed a wavelet-correlation-based approach to test for cointegration between two time series.
However, correlation and cointegration are ...