| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7383026 | Physica A: Statistical Mechanics and its Applications | 2011 | 11 Pages |
Abstract
⺠The logarithmic returns of the Hang Seng index are studied. ⺠The analyzed data show lack of memory and are Levy stable distributed. ⺠A general procedure for identification and validation of long memory is presented. ⺠A new method of estimation of the memory parameter is introduced. ⺠This work corrects the results of another article published in Physica A.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Krzysztof Burnecki, Janusz Gajda, Grzegorz Sikora,