ExploRing Persistence in Financial Time Series
If financial time series exhibits persistence or long-memory, then their unconditional probability distribution may not be normal. This has important implications for many areas in finance, especially asset pricing, option pricing, portfolio allocation and risk management. Furthermore, if the random...
Saved in:
| Main Author: | |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2000
|
| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/3402 https://ink.library.smu.edu.sg/context/lkcsb_research/article/4401/viewcontent/63.pdf |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |
