Do you see any short- or long-term autocorrelation in the fractionally differenced series?

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Statistics And Data Analysis For Financial Engineering

ISBN: 9781461427490

1st Edition

Authors: David Ruppert

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Question Posted: Jun 24, 2016 06:29 AM

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Do you see any short- or long-term autocorrelation in the fractionally differenced series?

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Applying the code fracdiff to estimate the amount of fractional differencing we get d ...View the full answer

Statistics And Data Analysis For Financial Engineering

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