Add to ORKGAccessible en ligne : http://economicsbulletin.vanderbilt.eduIn this paper we study the characteristics of the non stationarity of the covariance structure of the S\&P 500 returns by analyzing the time spectral density of the data. We show that the S\&P 500 returns has the same characteristics as the modulate white noise process. So, some precautions must be taken before applying traditional stationary models to describe like long size financial time series
We study tick-by-tick financial returns for the FTSE MIB index of the Italian Stock Exchange (Borsa ...
We propose a nonparametric method to determine the functional form of the noise density in discrete-...
In time-series analysis of business and economic data (e.g. stock index data; corporate dividend pay...
Accessible en ligne : http://economicsbulletin.vanderbilt.eduIn this paper we study the characterist...
Accessible en ligne : <br />http://economicsbulletin.vanderbilt.eduIn this paper we study the charac...
Financial markets are prominent examples for highly non-stationary systems. Sample averaged observab...
National audienceThis paper proposes two non parametric tests for stationarity and white noise again...
This article estimates the number of breaks and their locations in the covariance structure of a ser...
This paper proposes a new framework to analyze the nonstationarity in the time series of state densi...
The paper outlines a methodology for analyzing daily stock returns that relinquishes the assumption ...
We investigate the possible drawbacks of employing the standard Pearson estimator to measure correla...
National audienceThis article estimates the number of breaks and their locations in the covariance s...
This thesis focuses on option of omitting the stationarity assumption, which is usually used in the ...
We study tick-by-tick financial returns for the FTSE MIB index of the Italian Stock Exchange (Borsa ...
We propose a nonparametric method to determine the functional form of the noise density in discrete-...
In time-series analysis of business and economic data (e.g. stock index data; corporate dividend pay...
Accessible en ligne : http://economicsbulletin.vanderbilt.eduIn this paper we study the characterist...
Accessible en ligne : <br />http://economicsbulletin.vanderbilt.eduIn this paper we study the charac...
Financial markets are prominent examples for highly non-stationary systems. Sample averaged observab...
National audienceThis paper proposes two non parametric tests for stationarity and white noise again...
This article estimates the number of breaks and their locations in the covariance structure of a ser...
This paper proposes a new framework to analyze the nonstationarity in the time series of state densi...
The paper outlines a methodology for analyzing daily stock returns that relinquishes the assumption ...
We investigate the possible drawbacks of employing the standard Pearson estimator to measure correla...
National audienceThis article estimates the number of breaks and their locations in the covariance s...
This thesis focuses on option of omitting the stationarity assumption, which is usually used in the ...
We study tick-by-tick financial returns for the FTSE MIB index of the Italian Stock Exchange (Borsa ...
We propose a nonparametric method to determine the functional form of the noise density in discrete-...
In time-series analysis of business and economic data (e.g. stock index data; corporate dividend pay...